Credit Risk Modelling Masterclass: PD, LGD, EAD & ECL in SAS

Descripción

AI Disclosure: This course was developed using AI-assisted tools. Master the full lifecycle of Credit Risk Modelling — from raw data to regulatory-compliant Expected Credit Loss (ECL) estimates. This comprehensive 10-hour masterclass takes you through the complete IFRS 9 and Basel 3.1 modelling process in SAS, covering Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD), and Expected Credit Loss (ECL) computation. You will learn how banks design, calibrate, validate, and deploy credit risk models, with step-by-step SAS examples, reusable macros, and ready-to-customize templates for both retail and wholesale portfolios. What You Will Learn • End-to-End Credit Risk Modelling Framework under IFRS 9 • Point-in-Time (PIT) and Through-the-Cycle (TTC) PD Model Development • LGD Modelling using Regression and Segment-Level Approaches • EAD and Credit Conversion Factor (CCF) Estimation Techniques • ECL Computation and Scenario-Based Forecasting • Staging Logic (Stage 1, 2, 3) and Lifetime PD Derivation • Model Validation – KS, Gini, ROC, Brier Score, PSI, and Hosmer-Lemeshow Test • SAS Macro Automation for Data Preparation, WOE, and Model Execution • Basel 3.1 and IFRS 9 Integration with Capital Planning Concepts • Professional Reporting via ODS EXCEL and ODS PDF Outputs Why This Course? Banks and regulators are demanding transparent, data-driven, and auditable credit risk models. This masterclass equips you with real-world, job-ready modelling skills that go beyond theory. By the end of the course, you will be able to: • Build and validate regulatory-grade PD, LGD, EAD, and ECL models in SAS. • Automate data quality, variable selection, and model reporting. • Implement IFRS 9 staging and macroeconomic overlays. • Understand how these models feed into Basel capital requirements and IFRS 9 provisioning. Tools and Techniques • SAS Base and Enterprise Guide • PROC LOGISTIC, PROC REG, PROC MODEL, PROC HPLOGISTIC • Weight of Evidence (WOE) and Information Value (IV) transformations • Macro automation and data quality controls • ODS EXCEL/PDF reporting for model documentation • Macroeconomic scenario tagging and model validation dashboards Who This Course Is For • Credit Risk Analysts, Modellers, and Quantitative Risk Professionals • IFRS 9 and Basel 3.1 Implementation Teams • Financial Analysts and Data Scientists working with SAS • Banking Professionals preparing for FRM, CFA, or Actuarial exams • Anyone seeking to advance into Credit Risk Modelling and ECL Analytics What’s Included • Over 10 hours of detailed video lectures • SAS code templates and macro libraries • Excel dashboards for model monitoring • IFRS 9 staging, validation, and ECL calculator tools • Lifetime access and certificate of completion

Lo que aprenderás

• Explain and compare Value-at-Risk (VaR) methodologies in English, including historical simulation, variance–covariance, and Monte Carlo approaches.
• Calculate and interpret tail risk measures in English, such as VaR and Expected Shortfall, while understanding their strengths and limitations.
• Apply stress testing techniques in English (historical, hypothetical, and reverse stress testing) to assess portfolio resilience under extreme conditions.
• Evaluate and backtest risk models in English using the Kupiec test, Christoffersen test, and other exam-relevant approaches.
• Integrate VaR with stress testing in English to form a comprehensive risk management toolkit aligned with regulatory expectations.

Requisitos

• Basic knowledge of finance and risk management terminology in English will be helpful but is not mandatory.
• Familiarity with simple statistics (mean, variance, correlation) is recommended, though all key formulas are explained step by step.
• Ability to follow lectures in English, as the entire course (slides, explanations, and practice questions) is delivered in English.
• No special software required — only a calculator or spreadsheet for practice exercises.
• No prior FRM experience needed; this course is beginner-friendly and designed to guide you from the ground up.