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CREDIT SCORING

2017-2018

IESEG School of Management ( IÉSEG )

Code Cours :

1718-IÉSEG-MBD1S2-FIN-MBDCI01UE

FINANCE


Niveau Année de formation Période Langue d'enseignement 
MSc in Big Data Analytics for Business1S2English
Professeur(s) responsable(s)W.VERBEKE
Intervenant(s)W.VERBEKE


Pré requis

• Basic statistical knowledge
• Introduction to predictive analytics
• Introduction to banking and finance
• Introduction to databases
• Introduction to business informatics

Objectifs du cours

At the end of the course, the student should be able to:
At the end of the course, the student should be able to:
• Understand and explain the role of credit scorecards
• Understand and explain the goals, working, principles and underlying models of the Basel regulation
• Discuss and apply different data preparation steps for building credit scorecards
• Develop a credit scorecard using different predictive analytical techniques
• Explain the role of PD, LGD and EAD modeling in the Basel framework

Contenu du cours

1. Introduction to credit scoring
2. Introduction to Basel I,II and III regulation, and PD, LGD and EAD modeling
3. Data preprocessing for PD modeling
4. Building PD models
5. Postprocessing PD models
6. Developing a credit rating system


Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
Interactive class16,00  
Independent work
Reference manual 's readings48,00  
Charge de travail globale de l'étudiant64,00  

Méthodes pédagogiques

  • Tutorial
  • Project work
  • Interactive class
  • Case study


Évaluation

Individual assignment, applying the taught techniques to a case study, reporting and discussing the results.
Short paper discussing a topic related to the contents of the course.

Type de ContrôleDuréeNombrePondération
Continuous assessment
Participation16,00120,00
Others
Individual Project0,00180,00
TOTAL     100,00

Bibliographie

  • Credit riks management: basic concepts, Van Gestel and Baesens, Oxford University Press, 2008 -

  • Credit Scoring and Its Applications, Thomas, Edelman and Crook, Siam Monographs on Mathematical Modeling and Computation, 2002 -

  • Developing credit risk models using SAS Enterprise Miner and SAS/STAT, Brown, SAS -


Ressources internet



 
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