Modelling and validating the Advanced Internal Ratings Based (AIRB) approach

Learning Outcomes. Assess the impact of mis-measuring PD and LGD on capital charges. Explore single, multi-factor analysis and model selection. Determine modelling limitations in a stressed environment. Identify the link between default and recovery. Examine model calibration: benchmarking, stress testing and the role of expert judgement. Estimate expected LGD. downturn LGD and downturn EADs. Assess the misalignment of validation efforts and quantification. Suitable for: This two day course is specifically designed for professionals working within the following areas: Risk modelling. Credit risk. Quantitative credit risk analytics. Credit risk modelling. Credit risk analysis. Portfolio analytics. Basel II modelling. Basel II methodology.