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Credit Risk Modeling Certificate ( Excel and Python )

Trainers: FRM, CFA, CQF Distinction, IIT, IIM Graduates, 15+ Years Industry Experience

CREDIT RISK MODELLINGEXCELPYTHONSCORECARDSBASELIFRS 9STRESS TESTINGSELF PACED LEARNINGWEEKEND LIVE SESSIONS

Program Overview

This comprehensive training program enhances risk management prowess, focusing on Scorecards, Basel, IFRS 9, and Stress testing. It aims to provide a holistic understanding of these tools for effective credit risk assessment and compliance. Participants will learn to use Scorecards for creditworthiness evaluation, master Basel & IFRS 9 for financial reporting and transparency, and utilize stress testing to identify vulnerabilities and mitigate risks. The goal is to forge a robust risk management framework, positioning individuals as leaders in the financial landscape.

Key Highlights

Self Paced Learning

Over 175 hours of content available for self-paced learning.

Advanced Modelling with Python

Includes advanced modelling using Python.

Weekend Live & Doubt Sessions

Offers weekend live and doubt sessions.

Hands-on Excel

Extensive hands-on exercises and model building in Excel throughout the curriculum.

Comprehensive Curriculum

Covers Scorecards, Basel, IFRS 9, Stress Testing, Loss Modelling (PD, LGD, EAD), Cure Modelling, Wholesale Models, Low Default Portfolios, Model Validation, and Loan Pricing.

Expert Trainers

Led by experienced trainers Karan Aggarwal and Satyapriya Ojha.

Deliverables

Includes Primers, Concept Lectures, Excel Models, Python Codes, Reading Material, One Note Files, Assignments, Quizzes, and a D Forum.

Who Should Explore This Program?

  • Aspiring Credit Risk Analysts, Managers, and Modellers
  • Finance professionals seeking to specialize in risk management
  • Data Analysts/Scientists interested in financial risk modelling applications
  • Banking professionals involved in lending, portfolio management, or regulatory compliance

Detailed Curriculum

  • Understanding Loan Lifecycle
  • Scorecards vs Basel vs IFRS9 vs CCAR models
  • Excel hands-on - Data Preparation for Model development
  • Application Scorecard vs Behavioural Scorecard
  • Understanding Bad definition
  • Excel hands-on - Roll Rate Analysis (to incorporate bad flag) on Fannie Mae Mortgage data
  • Understanding concepts of Snapshot, Observation Period & Performance Period
  • Excel hands-on - Seasoning analysis to identify Performance Window
  • Thinking beyond Statistics - Policy rules, Overrides, Reject Inferencing
  • Excel hands-on - Building Application Scorecards using Logistic Regression
  • Excel hands-on - Building Behavioural Scorecards using Logistic Regression
  • Excel hands-on - Modelling Losses through Vintage analysis
  • Excel hands-on - Modelling Losses using Flow Rate Approach
  • Excel hands-on-Calculating PD using Logistic Regression
  • Calculating PD using ML Techniques
  • PD segmentation using Decision trees
  • Calculating workout LGD (Excel)
  • Computing LGD using Decision Trees
  • Tobit & Beta Regression for LGD Modelling (Excel)
  • Fractional Logistic Regression for LGD Modelling (Excel)
  • Incomplete workout approach (Excel)
  • Modelling EAD using CCF (Excel)
  • CCF calculation using Fixed & Variable Horizon, Cohort approach (Excel)
  • CCF Regression (Excel)
  • Instant Cure vs Probationary Cure (Model design)
  • Loss given Cure modelling
  • RWA & Capital Adequacy Ratio calculations (Excel)
  • Using Vasicek formula to convert TTC PD to Worst Case PD
  • Calculating Capital as per Basel IRB Approach (Excel)
  • TTC PD in Basel vs PIT PD in IFRS
  • 12 months PD calculation vs lifetime PD calculation
  • Understanding Concepts of Staging - Stage 1 | Stage 2 | Stage 3
  • Understanding Conditional PD Vs Unconditional PD
  • Excel hands-on - Converting TTC PD to PIT PD using Z score
  • Excel hands-on - Converting TTC PD to PIT PD using Log Odds shift
  • Excel hands-on - Converting TTC PD to PIT PD using Scalar approach
  • Calibration & Smoothening techniques (Excel)
  • PIT forward looking term structure of LGD as a function of Collateral value (Excel)
  • PIT forward looking term structure of LGD using Regression (Excel)
  • Calculating PIT LGD using Jacob Frye model (Excel)
  • CCF Term structure using Regression (Excel)
  • Bayesian Regression Models (Excel)
  • Kalman Regression Models (Excel)
  • Generalized Additive Models (Excel)
  • Discrete Time Hazard Models (Excel)
  • Snapshot/Open Pool Method
  • WARM Model (Excel)
  • Vintage analysis (Excel)
  • Actuarial Survival analysis (Excel)
  • Credit Risk Models: Lee Carter Model (Excel), Age Period Cohort Analysis (Excel)
  • APC Extensions: Validating APC - Alternating Vintage Diagrams, Moran's D (Excel), Bayesian APC (Excel), Quantifying Adverse Selection by Vintage (Excel), Adverse Selection through Fixed and Random effects (Excel)
  • Building Transition Matrix using Cohort Approach (Excel)
  • Building Transition Matrix using Duration Approach (Excel)
  • Converting TTC Transition Matrix to PIT Transition matrix (Excel)
  • Validating Transition Matrices (Excel)
  • Bayesian approach to handle LDP (Excel)
  • Pluto Tasche Approach (Excel)
  • Van Der Burgt Method (Excel)
  • QMM Method (Excel)
  • Top Down vs Bottom Up stress Testing (Excel)
  • ICAAP
  • Understandings CCAR vs DFAST requirements PPNR Modelling
  • Excel hands-on - Modelling ARIMA & ARIMAX
  • Excel hands-on - Building CCAR & PPNR model using multiple regression & time series models
  • Excel hands on Perform 9 quarter In Sample & Out of Sample Backtesting
  • Backtesting & Benchmarking
  • Evaluating Discriminatory Power Of Model (Excel)
  • Evaluating Accuracy of Model and Calibration (Excel)
  • Performing Stability analysis (Excel)
  • Margin of Conservatism (Excel)
  • Validating Wholesale Models (Excel)
  • Validating Stress Testing Models (Excel)
  • Optimizing Yields using Solver (Excel)
  • RAROC based pricing (Excel)
  • Merton & KMV Models (Excel)
  • Credit Plus Models (Excel)
  • Credit Portfolio View (Excel)
  • Credit Metrics Model (Excel)

Program Schedule & Logistics

Flexible Learning Schedule

175 Hrs + of Self Paced Learning content

Weekend live & doubt Sessions

Advanced Modelling using Python included

Interested? Let's Talk!

Fill this form to receive the brochure.

Know Your Timeline

Your Journey in Credit Risk Modelling

A Step-by-Step Path with the certification in Credit Risk to master essential industry skills.

Build Foundational Understanding & Scorecard Expertise

Learn the loan lifecycle, compare risk models, prepare data, and build Application & Behavioural Scorecards using Excel and statistical techniques.

Master Core Risk Parameter Modelling

Develop skills in modelling PD, LGD, and EAD using various methods including Logistic Regression, Decision Trees, CCF, and Vintage Analysis in Excel.

Navigate Regulatory Frameworks: Basel & IFRS 9

Understand and implement Basel capital charge calculations and IFRS 9 requirements for PD, LGD, EAD, including staging, TTC/PIT conversions, and CECL techniques.

Apply Advanced Techniques & Validate Models

Explore IFRS 9 Wholesale Models, Low Default Portfolios, Stress Testing (ICAAP, CCAR), comprehensive Model Validation, Loan Pricing, and Corporate Credit Models.

Meet Your Mentors

Karan Aggarwal

Karan Aggarwal

Mentor, Risk Management Upskilling Award Winner

Karan Aggarwal is one of India’s leading trainers in Financial Modelling, Risk Modelling, Data Analytics, Actuarial Science.

He has spearheaded several solution accelerators and spreadsheet-based prototypes in Risk and Analytics space.

Karan has also authored a number of papers on Basel Modelling, IFRS 9 Modelling, Stress Testing & Machine Learning.

He is widely regarded for his problem solving, thought leadership and intrapreneurship skills.

His analytical mindset, solid fundamentals & the thirst to keep learning set him apart as a true authority in this field.

Karan has also been awarded the Young Indian Entrepreneur Award by the Confederation Of Indian Industries in the year 2017.

The future of risk management lies in the intelligent application of data.
Satyapriya Ojha

Satyapriya Ojha

Mentor

Satyapriya Ojha is a highly skilled Capital Markets and Risk professional with 12+ years of experience in Regulatory Capital, Valuation and Analytics

He is an IIT & IIM graduate and holds FRM charter (top quartile in all subjects of part I & part II) and a distinction from CQF institute.

He is an expert in quantitative models used in valuation and risk management.

He has worked as a consultant in several regulatory projects for some of the top banks in the US in BASEL III and FRTB space.

Currently, he serves as a product owner for a top wealth management firm engaged in quantitative portfolio management for institutional clients.

The future of risk management lies in the intelligent application of data.
Ripul Dutt

Ripul Dutt

Founder & CEO, IIT, Tulane, USA

Ripul is the Founder of Risk Innand have an Academic Background from Indian Institute of Technology (IIT) Roorkee and Tulane University, USA, with over 150 research citations.

Extensive experience in Management, Business, Research, Consulting, with a career across India, the USA, and Europe.

Passionate about Teamwork and Empowering individuals to Maximize Talents, Driving Growth and Innovation at Risk Inn.

The future of risk management lies in the intelligent application of data.