(in Polish) Development and management of Credit Risk Models in the banking area 2400-ZEWW908

1. Introduction to risk modeling in the bank.
a. What is a model?
b. What is risk, why should we model it?
2. Introduction to credit risk.
a. What is credit risk?
b. Why measure and model credit risk at all?
c. Does the performance of credit risk models impact a bank’s competitiveness?
d. Types of credit risk models.
3. Regulatory and non-regulatory models in credit risk management.
a. Basel (I,II, III).
b. Differences between AIRB, SA, FIRB.
c. Purpose of calculating capital and ratios (Tier1, Tier 2).
d. IFRS9 related topics.
e. Examples of using non-regulatory models.
4. Model life cycle.
a. Basic elements of model development – initiation, data collection, model development and evaluation, validation and implementation.
b. Does model development end with fitting to data?
c. What technologies can be used for model development and implementation?
d. How to determine which model is the best?
5. Data sources and data preparation.
a. What is default?
b. What is write off?
c. Data merging.
6. Data Quality analysis.
a. Which dimensions should be checked?
b. Types of missing data.
c. Methods for data imputation.
7. PD model development.
a. Target variable.
b. Univariate analysis.
c. Multivariate analysis.
d. Calibration.
8. EAD model development.
9. LGD model development.
10 Model validation.
a. What is it?
b. Purpose and frequency of the model validation.
c. Model validations vs regulatory requirements.
d. Model validation in the context of standards – stability, traceability.
11. Monitoring.
a. Regulatory requirements.
b. Model classification.
c. Model environment.
d. Model performance.
12 Implementation.
a. Characteristic of good implementation.
b. Examples.