Basic Credit Risk Modeling for Basel/IFRS 9 using R/Python/SAS

In this course, students learn how to develop credit risk models in the context of the Basel and IFRS 9 guidelines. The course extensively reviews the 3 key credit risk parameters: Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD). Modeling methods, performance measurement and benchmarks are discussed into great detail. The course provides a sound mix of both theoretical and technical insights, as well as practical implementation details. These are illustrated by several real-life case studies and examples. The course also features code examples in R, Python and SAS. Throughout the course, the instructors also extenisvely report upon their research and industry experience.

The course features more than 6 hours of video lectures, more than 100 multiple choice questions, various LinkedIn polls with industry perspectives and references to background literature. A certificate signed by the instructors is provided upon successful completion.