• ScorePlus

    ScorePlus

    Open Seminars

Basel Models and Validation: Design and Development for Retail Credit

No planned dates at present.

Objectives

To provide techniques for analysts and managers involved in Basel modelling and strategic decision making for retail credit risk. 

This seminar was developed in association with Jon Hinder of Rhino Risk.

Topics:

  • The need for regulation and the Basel Accords framework
  • The key input and outputs PD, EAD and LGD models
  • Methodologies for the validation of models
  • The challenges surrounding the estimation of regulatory capital under the IRB approach

Benefits:

At the end of this three-day seminar, delegates will understand:

  • The fundamental philosophy driving the Basel accords
  • How to design, build and validate models for calculating regulatory capital under Basel
  • The role of scores in portfolio segmentation and in the internal rating based approach for Basel
  • Techniques for addressing small sample / low default portfolios
  • The strengths / limitations of each type of model –  and issues concerning interpretation
  • The ‘use test’ and stress testing
  • Governance and regulatory considerations

Who should attend

Analysts and technical managers responsible for building, validating and testing Basel models

Senior managers from finance and credit risk, responsible for business interface with regulators and infrastructure to support Basel Accord regulations

Format and materials

Formal presentations with practical exercises and whole group discussion

Break-out discussion and feedback groups

Seminar manual to take away

Duration

3 days in-house or open seminar programme. 

Available as an open or in-house seminar. All open seminars are held at the top class Marriott Royal Hotel, Bristol, BS1 5TA, UK. In-house seminar dates are arranged to suit the client.

For more on course content and place availability, email training@scoreplus.com

  • Very insightful - tasks really helped me apply my knowledge

  • Gerard really knows his subject - great source of inspiration and ideas

    Model builder