Prerequisites

MATLAB^® for Financial Applications

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

See detailed course outline

Prerequisites

MATLAB^® for Financial Applications

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.

Day 1 of 1
Classification of Credit Ratings	Objective: Create and validate classification models for credit ratings and credit scores based on historical data. Classifying credit ratings from historical data Analyzing and validating credit classification models Creating and assessing credit scoring models Determining probability of default
Reduced Form Models	Objective: Evaluate and assess market implied risk and the Basel granularity assumptions on a bond portfolio Evaluating portfolio concentration Fitting zero curves to market data Estimating recovery rate distributions Finding fixed income cashflows Bootstrapping probability of default
Structural Credit Risk Models	Objective: Calculate capital requirements under Basel for a bond portfolio using the ASRF model and structural models of default probability. Discounting cashflows Estimating default probability with the Merton model Calculating capital requirements with the ASRF model
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. Pricing bonds under yield shifts Estimating transition probabilities Simulating transition events Implementing correlated credit migrations

Guaranteed to Run

When you register for one of these courses, you can rely on the fact that it won't be canceled or rescheduled for any reason.

Course Schedule

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Dates	Location	Language	Price
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

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