Scribd
Upload
319 views163 pages

Bootcamp in CRM PDF

This document outlines the content of a bootcamp in credit risk modelling. It provides an index and overview of 23 topics that will be covered in the course, including data preparation and pipelines for regression and classification models, building application scorecards, variable clustering, reject inference, segmentation, rating systems, vintage analysis, behavioural scorecards, LGD modelling, and model validation techniques. The course content appears aimed at providing a comprehensive overview of concepts and techniques for credit risk modelling.

Uploaded by

ikhan809
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
319 views163 pages

Bootcamp in CRM PDF

This document outlines the content of a bootcamp in credit risk modelling. It provides an index and overview of 23 topics that will be covered in the course, including data preparation and pipelines for regression and classification models, building application scorecards, variable clustering, reject inference, segmentation, rating systems, vintage analysis, behavioural scorecards, LGD modelling, and model validation techniques. The course content appears aimed at providing a comprehensive overview of concepts and techniques for credit risk modelling.

Uploaded by

ikhan809
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 163

BOOTCAMP IN CREDIT RISK

MODELLING
BY Peaks2tails

COURSE CONTENT
W W W . P E A K S 2 T A I L S . C O M
INDEX
1. Data Preparation- 13 . CECL Aggregate 19. CCAR and PPNR
7. Master Rating System
Regression Pipeline Models Modelling

2 Data Preparation 8. Vintage & Roll Rate 20. Model Validation


14. . Wholesale Models
Classification Pipeline Analysis Techniques

3. Building Application 9. Behavioural 21. Machine Learning


15. PIT LGD and EAD
Scorecards Scorecards for Credit Risk

16. Prepayment 22. Advanced


4. Variable Clustering 10. LGD Modelling
Modelling Regression Model

11. CCF & EAD 17. Low Default 23. Corporate Credit
5. Reject Inferencing
Modelling Portfolio Risk Models

12. IFRS 9- Staging, ETC 18. Actuarial Credit Risk


6. Segmentation
To PIT PD Models

W W W . P E A K S 2 T A I L S . C O M
1.1 Regression Master Pipeline

W W W . P E A K S 2 T A I L S . C O M
1.2 Regression Master Pipeline

W W W . P E A K S 2 T A I L S . C O M
1.3 Exploratory Data Analysis

W W W . P E A K S 2 T A I L S . C O M
1.4 Regression Missing Value Imputation

W W W . P E A K S 2 T A I L S . C O M
1.5 KNN Missing Value Imputation

W W W . P E A K S 2 T A I L S . C O M
1.6 Cardinality Reduction

W W W . P E A K S 2 T A I L S . C O M
1.7 Categorical Encoding

W W W . P E A K S 2 T A I L S . C O M
1.8 Box Cox Transformation

W W W . P E A K S 2 T A I L S . C O M
1.9 Outlier Engineering

W W W . P E A K S 2 T A I L S . C O M
1.10 Scaling

W W W . P E A K S 2 T A I L S . C O M
1.11 Variable Selection

W W W . P E A K S 2 T A I L S . C O M
1.12 Backward Selection

W W W . P E A K S 2 T A I L S . C O M
1.13 Forward Selection

W W W . P E A K S 2 T A I L S . C O M
1.14 Ridge Regression

W W W . P E A K S 2 T A I L S . C O M
1.15 Model Building

W W W . P E A K S 2 T A I L S . C O M
1.16 Hyperparameter Tuning

W W W . P E A K S 2 T A I L S . C O M
2.1 Classification Master Pipeline

W W W . P E A K S 2 T A I L S . C O M
2.2 Classification Master Pipeline

W W W . P E A K S 2 T A I L S . C O M
2.3 Classification Master Pipeline

W W W . P E A K S 2 T A I L S . C O M
2.4 SMOTE Over Sampling

W W W . P E A K S 2 T A I L S . C O M
2.5 Adaptive Synthetic Method

W W W . P E A K S 2 T A I L S . C O M
2.6 Random Under Sampling

W W W . P E A K S 2 T A I L S . C O M
2.7 Condensed Nearest Neighbours

W W W . P E A K S 2 T A I L S . C O M
2.8 Tomek Links

W W W . P E A K S 2 T A I L S . C O M
3.1 Information Value

W W W . P E A K S 2 T A I L S . C O M
3.2 Weight Of Evidence Tool

W W W . P E A K S 2 T A I L S . C O M
3.3 Weight Of Evidence

W W W . P E A K S 2 T A I L S . C O M
3.4 Stepwise Logistic Regression

W W W . P E A K S 2 T A I L S . C O M
3.5 Scores Normalisation

W W W . P E A K S 2 T A I L S . C O M
3.6 Checking Discriminatory Power

W W W . P E A K S 2 T A I L S . C O M
3.7 Bayes Decision Rule

W W W . P E A K S 2 T A I L S . C O M
3.8 Minimax Decision Rule

W W W . P E A K S 2 T A I L S . C O M
3.9 Neyman Pearson Rule

W W W . P E A K S 2 T A I L S . C O M
4.1 Variable Clustering PCA

W W W . P E A K S 2 T A I L S . C O M
4.2 Variable Clustering PCA

W W W . P E A K S 2 T A I L S . C O M
4.3 Variable Clustering PCA

W W W . P E A K S 2 T A I L S . C O M
5.1 Reject Inference KGB Model

W W W . P E A K S 2 T A I L S . C O M
5.2 Hard Cut-Off

W W W . P E A K S 2 T A I L S . C O M
5.3 Parcelling

W W W . P E A K S 2 T A I L S . C O M
5.4 Fuzzy Augmentation

W W W . P E A K S 2 T A I L S . C O M
5.5 KNN Inferencing

W W W . P E A K S 2 T A I L S . C O M
6.1 Segmentation OLTV

W W W . P E A K S 2 T A I L S . C O M
6.2 Segmentation OFICO

W W W . P E A K S 2 T A I L S . C O M
6.3 Segmentation ILTV

W W W . P E A K S 2 T A I L S . C O M
6.4 Segmentation Geography

W W W . P E A K S 2 T A I L S . C O M
6.5 Segmentation Delinquent

W W W . P E A K S 2 T A I L S . C O M
6.6 Segmentation MOB

W W W . P E A K S 2 T A I L S . C O M
6.7 Segmentation Loan Size

W W W . P E A K S 2 T A I L S . C O M
6.8 Segmentation Using Decision Trees

W W W . P E A K S 2 T A I L S . C O M
6.9 Segmentation Using Decision Trees

W W W . P E A K S 2 T A I L S . C O M
7.1 Master Rating System

W W W . P E A K S 2 T A I L S . C O M
7.2 Validating Master Rating System

W W W . P E A K S 2 T A I L S . C O M
7.3 Mapping Internal & External Ratings

W W W . P E A K S 2 T A I L S . C O M
8.1 Roll Rate Analysis

W W W . P E A K S 2 T A I L S . C O M
8.2 Vintage Analysis

W W W . P E A K S 2 T A I L S . C O M
8.3 Seasoning Analysis

W W W . P E A K S 2 T A I L S . C O M
9.1 Data Preparation Under Instant Cure & Probationary Period Method

W W W . P E A K S 2 T A I L S . C O M
9.2 Behavioural Scorecards

W W W . P E A K S 2 T A I L S . C O M
9.3 Behavioural Scorecard Logistic Regression

W W W . P E A K S 2 T A I L S . C O M
9.4 Behavioural Scorecards WOE & IV

W W W . P E A K S 2 T A I L S . C O M
9.5 Out Of Sample Validation

W W W . P E A K S 2 T A I L S . C O M
9.6 Out Of Time Validation

W W W . P E A K S 2 T A I L S . C O M
10.1 LGD Workout

W W W . P E A K S 2 T A I L S . C O M
10.2 LGD Decision Tree

W W W . P E A K S 2 T A I L S . C O M
10.3 LGD Cooling Off Period

W W W . P E A K S 2 T A I L S . C O M
10.4 LGD Bimodal

W W W . P E A K S 2 T A I L S . C O M
10.5 LGD Tobit

W W W . P E A K S 2 T A I L S . C O M
10.6 LGD NLS Regression

W W W . P E A K S 2 T A I L S . C O M
10.7 LGD Fractional Logit

W W W . P E A K S 2 T A I L S . C O M
10.8 LGD Fractional & Beta

W W W . P E A K S 2 T A I L S . C O M
10.9 LGD Logit & Simplex

W W W . P E A K S 2 T A I L S . C O M
10.10 RR Extrapolation- Chain Ladder

W W W . P E A K S 2 T A I L S . C O M
11.1 CCF Calculation

W W W . P E A K S 2 T A I L S . C O M
11.2 EAD Bimodal

W W W . P E A K S 2 T A I L S . C O M
11.3 CCF- ULF

W W W . P E A K S 2 T A I L S . C O M
11.4 CCF- LF

W W W . P E A K S 2 T A I L S . C O M
11.5 CCF- BF

W W W . P E A K S 2 T A I L S . C O M
11.6 CCF- AUF

W W W . P E A K S 2 T A I L S . C O M
12.1 IFRS Low Risk

W W W . P E A K S 2 T A I L S . C O M
12.2 IFRS Staging

W W W . P E A K S 2 T A I L S . C O M
12.3 Absolute VS Relative Threshold

W W W . P E A K S 2 T A I L S . C O M
12.4 Vasicek Model

W W W . P E A K S 2 T A I L S . C O M
12.5 Extracting Z

W W W . P E A K S 2 T A I L S . C O M
12.6 PIT Default Rates

W W W . P E A K S 2 T A I L S . C O M
12.7 PD Curve Smoothening

W W W . P E A K S 2 T A I L S . C O M
12.8 TTC To PIT Calibration

W W W . P E A K S 2 T A I L S . C O M
12.9 Extracting Z Scores From Transition Matrix

W W W . P E A K S 2 T A I L S . C O M
12.10 TTC TM To PIT TM

W W W . P E A K S 2 T A I L S . C O M
13.1 Aggregate Models- Flow Rates

W W W . P E A K S 2 T A I L S . C O M
13.2 Aggregate Models- Snapshot/Open Pool Methods

W W W . P E A K S 2 T A I L S . C O M
13.3 Aggregate Models- Warm Method

W W W . P E A K S 2 T A I L S . C O M
13.4 Aggregate Models- Vintage Methods

W W W . P E A K S 2 T A I L S . C O M
13.5 Aggregate Models- State Transition Models

W W W . P E A K S 2 T A I L S . C O M
14.1 Wholesale Models- Building TM Using Cohort

W W W . P E A K S 2 T A I L S . C O M
14.2 Wholesale Models- Building TM Using Duration Approach

W W W . P E A K S 2 T A I L S . C O M
14.3 TM Smoothening

W W W . P E A K S 2 T A I L S . C O M
14.4 TM Central Tendency

W W W . P E A K S 2 T A I L S . C O M
14.5 TM Mobility Index

W W W . P E A K S 2 T A I L S . C O M
14.6 TTC To PIT TM

W W W . P E A K S 2 T A I L S . C O M
14.7 TTC To PIT TM in Vasicek Space

W W W . P E A K S 2 T A I L S . C O M
14.8 TTC To PIT TM in Probit Space

W W W . P E A K S 2 T A I L S . C O M
14.9 TTC To PIT TM in Logit Space

W W W . P E A K S 2 T A I L S . C O M
14.10 Yearly TM To Quarterly TM

W W W . P E A K S 2 T A I L S . C O M
15.1 PIT LGD- Jacob Frye

W W W . P E A K S 2 T A I L S . C O M
15.2 PIT LGD- Jacob Frye

W W W . P E A K S 2 T A I L S . C O M
15.3 PIT CCF Regression

W W W . P E A K S 2 T A I L S . C O M
15.4 EAD Term Structure

W W W . P E A K S 2 T A I L S . C O M
15.5 EAD For Credit Cards

W W W . P E A K S 2 T A I L S . C O M
16.1 Logistic Regression for Prepayment Modelling

W W W . P E A K S 2 T A I L S . C O M
16.2 Competing Risk Modelling

W W W . P E A K S 2 T A I L S . C O M
17.1 LDP Binomial Approach

W W W . P E A K S 2 T A I L S . C O M
17.2 LDP Pluto Tasche Approach

W W W . P E A K S 2 T A I L S . C O M
17.3 LDP Bayesian Approach

W W W . P E A K S 2 T A I L S . C O M
17.4 LDP CAP Approach

W W W . P E A K S 2 T A I L S . C O M
17.5 LDP Comparisons

W W W . P E A K S 2 T A I L S . C O M
18.1 Actuarial Models- Lee Carter

W W W . P E A K S 2 T A I L S . C O M
18.2 Actuarial Models- APC Analysis

W W W . P E A K S 2 T A I L S . C O M
18.3 Actuarial Models- Kaplan Meir

W W W . P E A K S 2 T A I L S . C O M
18.4 Actuarial Models- Cox Regression

W W W . P E A K S 2 T A I L S . C O M
18.5 Actuarial Models- AFT

W W W . P E A K S 2 T A I L S . C O M
19.1 CCAR Variable Transformation

W W W . P E A K S 2 T A I L S . C O M
19.2 CCAR Variable Selection

W W W . P E A K S 2 T A I L S . C O M
19.3 CCAR Exhaustive Model Search

W W W . P E A K S 2 T A I L S . C O M
19.4 CCAR Champion Model

W W W . P E A K S 2 T A I L S . C O M
19.5 CCAR Challenger Model

W W W . P E A K S 2 T A I L S . C O M
19.6 CCAR K-Fold CV

W W W . P E A K S 2 T A I L S . C O M
19.7 CCAR Coefficient Stability Test

W W W . P E A K S 2 T A I L S . C O M
19.8 CCAR Variable Sensitivity Analysis

W W W . P E A K S 2 T A I L S . C O M
19.9 CCAR Scenario Analysis

W W W . P E A K S 2 T A I L S . C O M
19.10 CCAR Forecast Error

W W W . P E A K S 2 T A I L S . C O M
19.11 Vector Error Correction Models

W W W . P E A K S 2 T A I L S . C O M
20.1 Model Validation- Building Logistic Regression Model

W W W . P E A K S 2 T A I L S . C O M
20.2 Model Validation- CAP & AR

W W W . P E A K S 2 T A I L S . C O M
20.3 Model Validation- ROC & KS

W W W . P E A K S 2 T A I L S . C O M
20.4 Model Validation- Confusion Matrix

W W W . P E A K S 2 T A I L S . C O M
20.5 Model Validation- IV & KL Divergence

W W W . P E A K S 2 T A I L S . C O M
20.6 Model Validation- Somer’s D & Kendall Tau

W W W . P E A K S 2 T A I L S . C O M
20.7 Model Validation- Stability Test

W W W . P E A K S 2 T A I L S . C O M
20.8 Model Validation- Calibration Tests

W W W . P E A K S 2 T A I L S . C O M
20.9 Model Validation- Brier Score

W W W . P E A K S 2 T A I L S . C O M
20.10 Jeffrey’s Prior Test

W W W . P E A K S 2 T A I L S . C O M
21.1 ML Discriminant Analysis

W W W . P E A K S 2 T A I L S . C O M
21.2 ML Fisher’s LDA

W W W . P E A K S 2 T A I L S . C O M
21.3 ML Support Vector Machine

W W W . P E A K S 2 T A I L S . C O M
21.4 ML K Nearest Neighbour

W W W . P E A K S 2 T A I L S . C O M
21.5 ML Neural Networks

W W W . P E A K S 2 T A I L S . C O M
21.6 ML Naive Bayes

W W W . P E A K S 2 T A I L S . C O M
22.1 Multinominal Logit

W W W . P E A K S 2 T A I L S . C O M
22.2 Multi-ordinal Logit

W W W . P E A K S 2 T A I L S . C O M
22.3 Gibbs Sampling

W W W . P E A K S 2 T A I L S . C O M
22.4 Metrapolis Hastings

W W W . P E A K S 2 T A I L S . C O M
22.5 Kalman Regression

W W W . P E A K S 2 T A I L S . C O M
23.1 Merton & KMV Model

W W W . P E A K S 2 T A I L S . C O M
23.2 Credit Risk Plus Model

W W W . P E A K S 2 T A I L S . C O M
23.3 Reduced Form Models

W W W . P E A K S 2 T A I L S . C O M
23.4 Credit Metrics

W W W . P E A K S 2 T A I L S . C O M
23.5 Default Correlation

W W W . P E A K S 2 T A I L S . C O M
23.6 Asset Correlation

W W W . P E A K S 2 T A I L S . C O M
23.7 Credit Portfolio VAR

W W W . P E A K S 2 T A I L S . C O M
END TO END PROJECTS IN PYTHON ON:

1. Scorecard 2. Transition 3. Stress


Building Matrices Testing

W W W . P E A K S 2 T A I L S . C O M
9780564549

W W W . P E A K S 2 T A I L S . C O M

You might also like