Monitoring and Backtesting Credit Risk Models || PD, LGD, EAD || Basel || Risk Management

Credit risk models such as PD, LGD and EAD models are used in various areas of risk management in banks and financial institutions such as in
1- Loan acceptance
2- Provisioning
3- Capital Calculation
4- Pricing
Credit risk models should be monitored to assess if the models built in past are fit for use for the current year and the future years. Usually the models are monitored to know if they can be used for next 12 months .
If the models are not performing as per the expectation then they have to be redeveloped. It is also regulatory requirement these days to regularly (at least once a year) assess the model performance.
To learn credit risk modelling connect with us : [e-mail]
To know more about the study the study packs visit : analyticuniversity.com/credit-...
Credit risk are also these days used by FinTech companies. Increased regulations are making it compulsory for the fintech companies to use these days in their day to day operation.
For Study Packs : analyticuniversity.com/
Complete Data Science Course : bit.ly/34Sucmb
Access All Coursera Plus courses @ $400 : bit.ly/2ZL51Dd
Discounted courses on Udemy (for $11): bit.ly/2LYU6hp
Free access to Skillshare: bit.ly/2thklJu
Coursera :
Data Science : bit.ly/37nABr6
Data Science Python : bit.ly/2ZK5oMm
Recommended Data Science Books on Amazon :
Python for Data Science: geni.us/PythonDataScience
R for Data Science : geni.us/DataScienceR
Machine Learning using Tensorflow: geni.us/MLinTensorflow
Data Science from Scratch: geni.us/DataSciencefromScratch
Python programming: geni.us/LearnPython
Artificial Inteligence: geni.us/LearnAI
Data Vizualization : geni.us/DataViz
20% discounts on below live courses : use coupon UA-cam20
Data Science Live Training :
AI and Tensorflow: bit.ly/2tOnOzA
Python : bit.ly/2QkH1QQ

[@AnalyticsUniversity]

I have made a beginner friendly (yet detailed) certification course on Quant Finance. For my course on Quantitative Finance contact [e-mail] or WhatsApp me on [phone] or [phone] (do not call, just drop me a message on WhatsApp).

[@datanerd112]

Thanks for the video this is what I was waiting for.

[@AnalyticsUniversity]

Thank you

[@mahimabhargava207]

Great video, thanks!

[@aera4738]

Thank you Sir !

[@AnalyticsUniversity]

To learn credit risk modelling (development, validation and stress testing) connect with us : [e-mail]

[@umangjain8891]

thanks , nice video

[@raltonkistnasamy6599]

Very nice video thanks alot

[@HKNAGPAL7]

Have interview tomorrow.

[@scottsara123]

Well explain in short Backtesting , Would be great if there is code as well. Could It be develop in R?

[@AnalyticsUniversity]

yes, you can develop in R

[@swetapatra]

please explain what is Gini for PD at 18:56 in the video.
also at 19:37 of video, in the backtesting table, how did we find probability? (at least please mention what model we used to derive those numbers).

[@felipe741]

I don't understand the difference between LGD and EAD. Is it correct to say that LGD is always smaller than EAD?
I say this because I assume that once a customer defaults, the bank may be able to recover some part of the EAD. The LGD would then be the percentage of EAD that CANNOT be recovered, i.e. it's really a loss.

[@AnalyticsUniversity]

You are right!

[@vaibhav_uk]

Yes EAD>=LGD

[@StarGazer-qn6gb]

Hi, I don’t have a background in statistics but curious to know the difference in EAD calculated under IRB and IMM…is it just that IMM has scenarios? Is there an overlap on the base case calculation?

[@tamashbeen6610]

Like #100 is from me.