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Analyst Track - The Basics of Credit Risk Modelling
Getting Started with the Analyst Track
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)
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 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
Loss Distribution in Excel (8:32)
Economic Capital & the Probability of Loss (4:55)
Test Your Knowledge - Loss Distribution
Modelling Correlations
Portfolio Expected and Unexpected Loss (9:46)
Risk Contribution and Correlation of Default (21:32)
Test Your Knowledge - Modelling Correlations
Course Certification
Final Graded Quiz
JPMorgan Chase - 18-year Internal Study
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