This program has been approved by GARP and qualifies for 7 GARP CPD credit hours. If you are a Certified FRM or ERP, please record this activity in your credit tracker at http://www.garp.org/cpd.
Course Schedule
Prerequisites
This program has been approved by GARP and qualifies for 7 GARP CPD credit hours. If you are a Certified FRM or ERP, please record this activity in your credit tracker at http://www.garp.org/cpd.
Credit Risk Management with MATLAB
This one-day course provides a comprehensive introduction to modeling credit risk using MATLAB® and computational finance toolboxes. The course is intended for risk practitioners with prior experience of MATLAB developing credit risk models using common modeling practices and the Basel II/III Advanced Internal Ratings Based approach. High-level course themes include:
- Creating and evaluating classifications of credit
- Modeling consumer credit
- Performing ad-hoc concentration analysis
- Fitting discrete interest rate models
- Implementing reduced-form, structural and historical probability of default models
- Determining capital requirements with the Asymptotic Single Risk Factor model
- Assessing credit transition probabilities
Credit Risk Management with MATLAB
Prerequisites
| Day 1 of 1 | |
|---|---|
| Classification of Credit Ratings | Objective: Create and validate classification models for credit ratings and credit scores based on historical data.
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| Reduced Form Models | Objective: Evaluate and assess market implied risk and the Basel granularity assumptions on a bond portfolio
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| Structural Credit Risk Models | Objective: Calculate capital requirements under Basel for a bond portfolio using the ASRF model and structural models of default probability.
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| Historical Credit Migration models | Objective: Calculate expected loss, value-at-risk and conditional value-at-risk on a portfolio of bonds by incorporating copula correlated transitions events.
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| Dates | Location | Language | Price | Register |
|---|---|---|---|---|
| 15 Mar 2019 | US, New York, New York | English | USD 750 | |
| 07 Jun 2019 |
Online 9:00 a.m. - 5:00 p.m. US Eastern Daylight Time |
English | USD 750 | |
| 11 Oct 2019 | US, California, San Francisco | English | USD 750 | |
| 15 Nov 2019 | US, Illinois, Chicago | English | USD 750 | |
| 13 Dec 2019 | United Kingdom, London | English | GBP 600 |
The pricing applies for purchase and use in United States, For pricing in other regions Contact Sales. The product price does not include sales, use, excise, value-added, or other taxes. Any applicable taxes, duties, levies, assessments and governmental charges payable in connection with this purchase will be assessed on the order. Refer to Training Policies for more information