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Training Methodology
Ideally, you will bring your own laptop with Microsoft Excel. The training course will be
interactive in nature, proactive, pragmatic, action-based, non-theoretical and non-academic.
Industry-specific examples will be done as case studies. A package of detailed notes will be
handed out.
Course Objectives
After completion of the course, delegates will have sound knowledge and understanding of
the various techniques and approaches for Retail & Corporate credit risk modeling and
validation, with specific emphasis on the RBZ recommended ones.
You will learn how to:
Select suitable techniques to build models for retail & wholesale portfolios.
Choose from a variety of methods to model LGD and EAD for all your portfolios
(Cheque, PL, HL, CC, IF, VF, SL, etc)
Learn how to prepare a Basel II/III compliant ICAAP Report, and the inputs to it.
Model Developers
Model Validators
Internal Auditors
Financial regulators
AGENDA
1. Overview of Basel II Credit Risk Modeling and Models
The Basel II/III Compliance Audit Sheet: all that needs to be in place
3.
Kolmogorov-Smirnov Test
Other Techniques
Data Cleaning
Model Building
Case Study
Mortality-Based approach
Regression Methods
7. Retail PD Modeling
PD Estimation Techniques
Case Study: Building a Retail PD and a Retail Internal Credit Rating Model
Course Presenter:
Victor Gumbo: PhD in Operations Research specializing in Financial Modeling, MSc in
Mathematics of Finance, a Certified Basel II Professional (CBiiPro).
Venue:
Crowne Plaza
Dates:
Modworld Profile
Modworld Consulting Pvt Ltd is a financial and risk modeling company, the market leader
in Africa in Modeling and Enterprise Risk management Consulting. We are an innovative
consulting firm serving corporates and Banks who want to optimize business processes,
quantify and manage risk and liquidity. We partner with clients to quantify, manage and
disclose their credit, market and operational risks. Our partnership with your organization
leaves you Basel II/III Compliant.
Our vision has been to consistently provide process optimization, analytics and risk
quantification, management advice to corporates and financial institutions across Africa.
Today, we are the trusted faithful guardian of financial and operational risk consultancy of
industry-leading organizations, with a track record of success under any dynamic economic
circumstance. Our achievements are the result of continuous visionary research and
development, and use of experts and collaboration.