IFRS 9 Machine Learning Credit Risk Modelling: Hands-on Masterclass in R
Course Overview
This end-to-end course equips delegates with IFRS 9 Machine Learning Modeling knowledge and skills. It covers, inter alia, exploratory data analysis, data pre-processing, model training, and evaluation. A hands-on approach is adopted by providing both the theoretical and practical toolkit to use on a daily basis. The examples and case studies are explored by means of R software.
Learning Objectives
- Learn how to prepare data for ML modelling;
- Be able to use ML techniques to develop PD models;
- Apply regression techniques to develop EAD and LGD models;
- Learn how to calibrate and validate models developed through ML techniques;
- Be able to use R software to build IFRS 9 ECL models
TARGET AUDIENCE
- Model Developers
- Model Validators
- Credit Risk Analysts
- Credit Risk Managers
- Auditors
- Risk Managers
- Quantitative Analysts
- Regulators
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