To learn credit risk modelling (Development of POP, PD, LGD, EAD models, Model validation, Stress testing, Back testing). Contact : analyticsuniversity@gmail.com
Credit Risk Analytics Study packs: http://analyticuniversity.com/credit-risk-analytics-study-pack/
Some of the credit risk modelling questions discussed in the videos (and many more):
1- What were the main objectives of Basel 1
2-What were the main objectives of Basel 2
3-What is Capital Adequacy ratio
4-What are tier 1 & tier 2 capital
5-How does IFRS9 effects credit loss modeling?
6- What is CCAR?
7- What is PPNR?
8-What are the objectives of credit rating model?
9-What are LCR & NSFR
10-What is the difference between Expected loss and Unexpected loss
11- What is the main difference between wholesale & retail banking?
12- How do we test for multicollinearity
13-How do you deal with autocorrelation?
14-How do you deal with Heteroskedasticity??
15-What are the metrics used for model monitoring?
16-What are the aspects of model risk?
17-Guidelines for model development
18-What are the different aspects of Model Validation?
19-What are the aspects of model audit?
20-How do you perform back testing?
