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

    - Model Developers
    - Model Validators
    - Credit Risk Analysts
    - Credit Risk Managers
    - Auditors
    - Risk Managers
    - Quantitative Analysts
    - Regulators
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