Credit risk model workshop
View AgendaKey reasons to attend
- Discuss use cases of artificial intelligence (AI) for credit risk modelling
- Improve model accuracy and efficiency
- Maintain the success of a model validation framework
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About the course
Join us for the in-person learning event, which will provide valuable insights into credit risk model management.
Participants will learn how to validate credit risk models by deep diving into the five pillars of model validation, models and future expectations. Participants will also explore how to stress test credit risk portfolios by studying sensitivity analysis, model design and managing portfolios in the stages of an economic cycle.
Learning from the expert tutor and interactive case studies, participants will delve into the nuances of regulatory compliance and examine the implications for their respective institutions while considering topical, factors such as the impact of AI and machine learning.
Pricing options:
- Early-bird rate: save up to $800 per person by booking in advance (refer to the booking section for the deadline)
- 3-for-2 rate: save over $2,000 by booking a group of three attendees (applicable to this course)
- Subscriber reward: save 30% off the standard rate if you are a Risk.net subscriber (use code SUB30)
- Season tickets: save over $1,000 per person by booking 10 or more tickets (available on selection of courses)
*T&Cs apply
Learning objectives
- Navigate probability of default, loss given default and exposure at default
- Address the challenges of machine learning uses in credit risk modelling
- Integrate climate risks into credit risk modelling
- Enhance the framework for credit risk model validation
- Explore the implications of behavioural modelling
- Align macroeconomic variables with the credit risk stress tests
Who should attend
Employees whose job responsibilities may include but are not limited to:
- Credit risk
- Risk modelling
- Risk management
- Model risk management
- Climate risk
- Machine learning
- Artificial intelligence
- Stress-testing
- Credit risk
- Counterparty credit risk
- Treasury
- Regulators
- Risk consultant
Agenda
This workshop is part of Risk Live Australia which will take place one day after the conference in Sydney. Click here to learn more about the workshop and conference rates.
August 8, 2025
In-person. Location: Sydney, Australia
Venue: Cliftons Sydney, L13, 60 Margaret St, Sydney NSW 2000
Sessions:
- Credit risk modelling: part I
- Credit risk modelling: part II
- Integrating climate risks into credit risk modelling
- The role of AI and machine learning in credit risk modelling
- Credit risk model validation
- Stress-testing credit risk portfolios
- Case study
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
- The post-Archegos risk model rebuild begins… slowly
- Japanese banks far apart on credit model efficiency under Basel III
- Emerging lessons from the current credit risk cycle
A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two news articles a month.
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