CREDIT RISK APPLICATION SCORECARD | DATA SCIENCE & CREDIT RISK

Data Preparation – MENTOS
Scorecards – Application & Behavioral
Loss Modelling – Vintage & Flow rate
Basel TTC PD – Logistic Regression & Decision Tree
PD with and without cure
Basel ASRF (Vasicek) approach
Basel LGD – Tobit, Beta & Fractional Logit Regression
LGD for secured and unsecured loans
Basel EAD – Fixed Horizon, Variable Horizon & Cohort Approach
EAD for credit cards (CCF) and term loans
Basel RWA calculations
IFRS – 9 Staging criteria
IFRS – 9 Calculating PIT PD using Z score approach and calibration techniques
IFRS – 9 Lifetime PD using Binomial & Credit deterioration approach
IFRS – 9 Calculating PIT LGD using Jacob Frye approach
IFRS – 9 Calculating PIT CCF for defaulted and non defaulted loans
IFRS 9 – Prepayment Modelling for EAD
CECL – Discrete time hazard, Open Pool method, WARM Model, Vintage analysis
Actuarial credit risk models – Survival analysis, Age Period Cohort
IFRS – 9 Wholesale models – Transition Matrix (Duration & Cohort Approach)
IFRS – 9 Wholesale model validation
Handling Low Default Portfolios using Bayesian & Pluto Tasche Approach
Stress Testing – Regression & Time Series concepts
Stress Testing – CCAR & PPNR models
Stress Testing – Model Validation including 9 quarter back testing
Model Validation – Discriminatory Power
Model Validation – Calibration Accuracy
Model Validation – Model Stability
Model Validation – SR 7-11
Model Validation – Margin of Conservatism
Pricing Loans using RAROC concept
Corporate credit models – Merton (KMV), Credit Plus, Credit Metrics, Credit Portfolio View
Machine Learning – Supervised, Unsupervised Learning
Advanced Econometrics – Bayesian Regression, Kalman Regression , Regime Switching Regression