Singapore University of Social Sciences

Credit Risk Modeling

Credit Risk Modeling (ANL353)

Synopsis

ANL353 Credit Risk Modeling aims to equip students with the knowledge and skills of credit risk management in the financial industry. At the end of this course, students will be competent in calibrating and validating credit risk models, stress testing of existing modelling, and implement these models using SAS.

Level: 3
Credit Units: 5
Presentation Pattern: Every January

Topics

  • Overview of Credit Risk Modeling
  • Introduction to the SAS Software
  • Data Exploratin for Credit Risk Modeling
  • Data Preparation for Credit Risk Modeling
  • Credit Scoring and Credit Risk Modeling
  • Probabilities of Default (PD): Discrete-Time Hazard Models
  • Probabilities of Default (PD): Continuous-Time Hazard Models
  • Credit Portfolio Risk
  • Loss Given Default (LGD) and Recovery Rates
  • Exposure at Default (EAD)
  • Model Validation
  • Stress Testing

Learning Outcome

  • Describe the general concepts of credit risk management
  • Discuss the implementation outcomes of credit risk modeling
  • Evaluate the appropriateness and accuracy of credit risk analytics
  • Construct models for credit risk management
  • Verify and stress-test existing models
  • Implement and validate models in SAS
Full-time ProgrammesPart-time Programmes / CET Courses
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