BASEL PD, EAD, LGD MODEL DEVELOPMENT USING EXCEL

Description

Section 1 – Understanding Banking Products – Retail Portfolios & Commercial Products
Section 2 – Introduction to Basel Regulatory Framework
Section 3 – Banking Terminologies – Default Definition, Dependent Variable definition, Snapshot Data, Observation Period, Performance Period, Out- of-sample-validation, Out-of-time validation
Section 4 – Variable assessment, Variable Source-To-Target Mapping & Data quality check
Section 5 – Model Design & Co-variate creation
Section 6 – Building a segmentation driven model
Section 7 – Model Development – PD, LGD & EAD
Section 8 – Model Validation
Section 9 – Model Implementation – Expected Loss & Unexpected Loss Calculation