Course Information
Registration period
Year-round Recruitment
Course Level
Study Mode
Duration
6 Hour(s) 14 Minute(s)
Language
English
Taught by
Subhashish Ray
Rating
Course Overview
Develop and Validate Basel IRB Credit Risk Models Using R Programming
Are you looking to master credit risk modeling and understand the Basel IRB framework? Do you want to develop hands-on expertise using R programming for regulatory-compliant credit risk models? This course is designed for you!
"Basel IRB Credit Risk Models: A Practical Guide in R" is a comprehensive, step-by-step program that combines theoretical foundations with practical applications. Whether you’re a beginner exploring credit risk or an experienced professional looking to sharpen your modeling skills, this course will equip you with the knowledge and tools to excel.
What You’ll Learn:
Understand Credit Risk Metrics: Gain a solid foundation in Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD).
Master Basel IRB Compliance: Learn how Basel guidelines influence credit risk modeling in financial institutions.
Develop Models in R: Build, calibrate, and validate credit risk models using R, one of the most popular tools in data analysis.
Work on Real-Life Case Studies: Apply your skills to real-world scenarios and datasets for a practical understanding of risk analysis.
Perform Model Validation: Learn techniques for backtesting, stress testing, and model performance evaluation.
Regulatory and Business Insights: Understand how credit risk models shape banking decisions and regulatory compliance.
Why Take This Course?
Hands-On Learning: Practical implementation is at the heart of this course, guiding you step-by-step through the modeling process using R.
Real-World Relevance: Work on case studies and examples that replicate actual banking scenarios to gain practical insights.
Comprehensive Coverage: Learn everything from credit risk fundamentals to advanced topics like stress testing and portfolio-level analysis.
Beginner-Friendly Approach: Start with the basics—no prior experience with Basel IRB or advanced modeling is needed.
Who Should Enroll?
Aspiring credit risk analysts and data scientists.
Banking professionals aiming to deepen their knowledge of Basel IRB models.
Students and academics interested in financial risk modeling.
R programmers looking to specialize in credit risk analytics.
By the end of this course, you’ll not only understand how Basel AIRB credit risk models work but also gain the confidence to implement them effectively in R. Start your journey into credit risk modeling today!
Course Content
- 5 section(s)
- 37 lecture(s)
- Section 1 Introduction
- Section 2 Regulatory Environment
- Section 3 Probability of Default (PD)
- Section 4 Loss Given Default (LGD)
- Section 5 Exposure at Default (EAD)
What You’ll Learn
- Fundamentals of Credit Risk Modeling: Understand key concepts like Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD), Building Basel-Compliant Credit Risk Models: Learn to develop PD, LGD, and EAD models aligned with Basel IRB standard, Practical R Programming for Credit Risk, End-to-End Modeling Workflow, Design, implement, and validate credit risk models step by step, Learn techniques for model calibration, backtesting, and monitoring, Regulatory and Business Insights: Understand how regulators assess Basel IRB compliance, Work on real-life datasets to understand practical challenges in risk modeling
Skills covered in this course
Reviews
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SStuti Singh
This section is very well explained.
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PPerfect Mugwagwa
This is one of the best courses I have had on Basel A-IRB
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AAli Kurtuluş
The instructor is not responding to messages. PD model section is sufficient. The LGD model section is acceptable. EAD modeling section needs to be improved. (For example, the model developed with training data is not validated with test data, etc.) In some sections, R codes are unnecessarily prolonged in their explanations. (For example, in the EAD section, R codes are unnecessarily repeated even though they are the same as the codes in the previous section.)
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IIGNACIO MONTERO
It provides very relevant content for people who want to start in risk management careers.
