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Rating models with “R” analytics tools

OBJECTIVES

Considering the latest developments in the local markets and the regulatory requirements for credit risk, the course offers an in-depth and practical approach to the rating models and risk parameters used in credit risk management. 

The course contains a structured presentation of the R programming language. The theoretical background is accompanied by the implementation of the examples in R scripts.

TARGET GROUP

Employees in the credit risk management, controlling, audit departments from credit institutions, non-banking financial institutions, insurance companies, middle management of these institutions or any other interested persons.

CONTENT

Introduction to credit risk

  • Measurement and management of credit risk: Basel III, Regulation 5/2013 of the National Bank of Romania and Regulation 575/2013 of the European Parliament

Introduction to R Programming language

  • Accessing and combining data
  • Statistical analysis of data

Measurement of individual loss from credit risk

  • Probability of default
  • Estimation of conditional probability using the logistic regression
  • Logistic regression in R
  • Credit risk scoring and client information
  • Scorecard implementation in R

Rating models

  • Scorecard utilization
  • Rating models calibration: Point in Time and Through the Cycle philosophy
  • Scorecard calibration in R
  • Monitoring and validation of rating models
  • Scorecard monitoring in R

 

LECTURER

Cezar Chirilă holds a PhD in Finance with specialization in Financial Mathematics, obtained in 2013 at Frankfurt School of Finance and Management.

Starting 2017, he is a Senior Economic Risk Capital Modeler – Credit Suisse, Switzerland. From 2014 to 2017, he has coordinated the Rating Models and Risk Parameters Team – BCR Erste. He participated in the projects related to stress tests, IFRS9 and the implementation of the Internal Rating Based approach (IRB) in the retail, corporate and municipality’s portfolios of the bank.

In BCR he created the Credit Risk Workshop, dedicated to students in the last year of the master program from ASE, Mathematics Faculty and Polytechnic Faculty. He is Associated Professor for Academy of Economic Studies in Bucharest, where he teaches risk management at the Doctoral School of Finance and Banking – DOFIN and at the research in finance master program – CEFIN. He is also Associated Professor for the University of Bucharest, where he teaches credit risk for the Applied Mathematics Master Program.

COURSE DATE

May 13 – 14 2021, from 9 am to 5 pm

Registration is made following the registration form.

RBI will organise the seminar online.

At the end of the course, participants will be given a certificate, issued by RBI (under the aegis of the founding members: NBR and RBA), with 14 CPD credits.

For the course fee and other details please contact us by phone or e-mail.

CONTACT

Mihaela Radu, Training Expert 

tel: 0748886807, e-mail: mihaela.radu@ibr-rbi.ro

noutăți

17 octombrie, 2022

PERIOADĂ DESFĂȘURARE CURS:

17 octombrie
- 18 octombrie | 2022