Credit Risk Modeling using SAS

After this course, participants will know how to develop credit risk models in the context of the recent Basel II guidelines. The course provides a sound mix of both theoretical and technical insight, as well as practical implementation details. These are illustrated by several real-life case studies and exercises. 
 
Before attending this course, you should have business expertise in credit risk and a basic understanding of statistical classification methods. Previous SAS software and SAS Enterprise Miner experience is helpful but not necessary.
 
Zielgruppe
Anyone who is involved in building credit risk models, or is responsible for monitoring the behavior and performance of credit risk models.
 
Module
SAS Enterprise Miner Software
 
Kursinhalte

• Develop probability of default (PD), loss given default (LGD), and exposure at default (EAD) models
• Validate, backtest, and benchmark credit risk models
• Stress test credit risk models
• Develop credit risk models for low default portfolios
• Use new and advanced techniques for improved credit risk modeling