hello max meng ! first of all, thank you for such an awesome video tutorial......it is very rare to get videos that explain the practical side of pd,lgd, ead estimation. Right now I am working as an analyst in a startup and I want to make an IFRS9 engine but I don't have the data to do so. Can you please share this excel file with me? If not please tell me from where did you get this dataset....Thank you !!
The dataset used in the video, and the link given in the video, consist of a different dataset, could you provide the exact dataset used here with all the sheets
Can someone help me understand how cure rate is linked to ECL? Cure rate is the % of defaulted loans catches up all defaulted payments and change to "Perform" status?
Your definition of the cure rate is broadly accurate. Although you can have cure rates for different segments. The cure rate helps you to establish your required LGD hence feeds into into your ECL calculation.
At 12:30 of my video, I intended to use 56.37% under the "Total" column but mistyped 57.40% under "Bankruptcy". It doesn't affect the final results much. Good catch!!
why u use assets for calculating volatility ? also you making statements without proper justification is no good , also for the normal distribution part i doubt banks use that rather they use their historical custom distribution i assume
To be quite honestly with, this has been one of the most useful ylutune videos of all time
You are extremely awesome, Sir. !
THIS video made my concepts so clear. Thank you so much.
Thank you so much for the video. Please make more videos on credit risk using python or R.
hello max meng ! first of all, thank you for such an awesome video tutorial......it is very rare to get videos that explain the practical side of pd,lgd, ead estimation. Right now I am working as an analyst in a startup and I want to make an IFRS9 engine but I don't have the data to do so. Can you please share this excel file with me? If not please tell me from where did you get this dataset....Thank you !!
The dataset used in the video, and the link given in the video, consist of a different dataset, could you provide the exact dataset used here with all the sheets
Loved the video! Do you have the source for UGD given the Credit Rating? If so, could you provide it?
Thank you sir !!
Real stuffs. Thanks.
thanks - great video
*Where can I access your excel workbook?
Good learning
This estimate of expected loss is for what time frame?
I watch this video like100 times (my favorite)
Thank you for your encouragement
Can u please make a video on PD modelling on R please.
can you share the coding and datasets? by the way, now coming up the ifrs9 ecl calculation, do you have a video about that?
Hello sir, where I can find the excel spreadsheet? I didn't find it in your github
Can someone help me understand how cure rate is linked to ECL? Cure rate is the % of defaulted loans catches up all defaulted payments and change to "Perform" status?
Your definition of the cure rate is broadly accurate. Although you can have cure rates for different segments. The cure rate helps you to establish your required LGD hence feeds into into your ECL calculation.
i am finding it difficult to get the formula for EAD
how to find UDG ? kindly explain
Thank you, Can you send me your preedsheet?
Where does your average of "57.40%" come from in the Beta_LGD tab?
At 12:30 of my video, I intended to use 56.37% under the "Total" column but mistyped 57.40% under "Bankruptcy". It doesn't affect the final results much. Good catch!!
why not just use loans as an example?
why u use assets for calculating volatility ? also you making statements without proper justification is no good , also for the normal distribution part i doubt banks use that rather they use their historical custom distribution i assume