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Finance Training Course – Course Outline – Probability of Default Models: Beyond Regulation

Serves as a Probability of default (PD) calculation refresher as well as reviews intermediate topics and implementation issues related to Probabilityof default models.

1. COURSE OBJECTIVES

At the end of this workshop the participants will be able to:

  1. Compare key methods used for PD calculations and work with them.
  2. Apply these methods within the local environment.
  3. Work with statistical test of significance to identify and drive key patterns.
  4. Link PD calculation with internal rating, facility risk rating and capital charge calculation.

2. TRAINING COURSE LEVEL

Intermediate and advance users. This advance level workshop is aimed at individuals responsible for probability of default calculations and riskmanagement within banks, insurance companies and mutual funds.

3. TRAINING COURSE PREREQUISITES

Familiarity with economic capital, local markets, portfolio management concepts and the Basel II framework.

4. COURSE OUTLINE

Session & TitleTopics
Session One – PDA Models: All youever needed to knowin less than 90 minutesOverview and introduction.Key terms and concepts.The mortality, KMV and regression approaches.

Ground rules and datasets.

Structuring a PD study.

Common issues and challenges.

Session Two – Hands on Review IScoring models in use.Linking scoring models and PD’s.Refining models with usage.

PD calculation exercise.

Session Three – Hands on Review IILinking PD’s and capital charge calculation.Extending models for anticipated regulation.Applying and interpreting statistical tests.
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