Analyst Track - The Basics of Credit Risk Modelling
Basic Elements for Credit Modelling in Excel
Credit Risk Modelling is the process by which financial institutions quantify credit risks across varying product lines as they have the need to quantify the amount of risk capital needed to cover their loan exposures. The role of the credit risk model is to take as input such decision-making factors as guarantor strength, loan type, and general economic conditions and generate weights based on historical measures and predictive analytics. The financial institution is then better enabled to measure its capital with regard to risk exposure and cure systemic mispricing of its loans.
In this Analyst Track, we cover the basic calculations of Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD). Additionally, we build an economic capital model and perform a loss distribution. We conclude with modelling correlations.
How to Pay for the Course. You can pay for this course using any of the following methods: (1) Cash deposit at any NMB Wakala or Branch, (2) Mobile Money-to-Bank transaction on M-Pesa or Tigo Pesa, or (3) Mobile Money-to-Bank transaction on Halopesa. See the tiob.or.tz website for additional details.
Your Instructor
The Tanzania Institute of Bankers (TIOB) was established in 1993 under the Companies Ordinance (Cap 212) of the laws of Tanzania, with the mandate of promoting the banking profession by providing professional banking education and skills development to bank staff in Tanzania.
Kentara Analytics is a US-based strategic analytics services firm serving banks and credit unions, specializing in quantitative risk, credit risk modeling, regulatory capital, stress testing, and risk-based capital and pricing providing consultative guidance in technical and functional solutions to banks, credit unions, insurance companies, governmental agencies, and non-financial services companies.