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The Basics of Credit Risk Modelling
Getting Started
Welcome to the Course!
About the Instructor (0:35)
Prerequisites
Credit Modelling Overview
The Art of the Long View (4:47)
Essential Components of the Internal Credit Risk Model (2:09)
Credit Risk Model Components
Purposes and Objectives (2:18)
Economic Capital Framework
Test Your Knowledge
Expected and Unexpected Losses
Economic Capital (Preview) (4:06)
Expected Losses (3:59)
Unexpected Losses (3:48)
Test Your Knowledge - Expected/Unexpected Losses
Probability of Default
Probability of Default - Lecture (6:54)
PD Calculations in Excel (5:25)
Two Papers - PD
Test Your Knowledge of PD
Loss Given Default
Loss Given Default - Lecture (6:45)
LGD Calculations in Excel (4:42)
JPMorgan Chase - 18-year Internal Study
Two Papers on LGD
Test Your Knowledge of LGD
Exposure at Default
Exposure at Default - Lecture (5:38)
EAD Calculations in Excel (5:19)
Basel III and EAD
EAD Whitepaper
Test Your Knowledge - EAD
Economic Capital
Unexpected Loss (4:05)
Unexpected Loss Calculation in Excel (10:35)
Economic Capital (15:23)
Test Your Knowledge - Economic Capital
Loss Distribution
Loss Distribution (Introduction) (5:46)
MicroSoft's Analysis ToolPak in Excel
The Loss Distribution in Excel (8:32)
Economic Capital and the Probability of Loss (4:55)
Test Your Knowledge - Loss Distribution
Modelling Correlations
Portfolio Expected & Unexpected Loss (9:46)
Risk Contribution and Correlation of Default (10:46)
Test Your Knowledge - Modelling Correlations
Regulatory Capital
The Capital Adequacy of Banks (8:26)
Capital Adequacy and the Basel Framework (21:40)
A Note for Tanzania (3:39)
Test Your Knowledge - Regulatory Capital
Additional Resources
Bibliography
Course Certification
Final Graded Quiz
Economic Capital and the Probability of Loss
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