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Credit Risk Modelling
Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD) models.
IRB approaches, rating systems, credit scoring, and portfolio models.
PD Models
Probability of Default Estimation Live
Statistical models for estimating borrower default probabilities using logistic regression, survival analysis, and machine learning.
LGD Models
Loss Given Default Models Coming Soon
Recovery rate estimation, workout LGD, market LGD, and downturn LGD calibration per EBA guidelines.
EAD Models
Exposure at Default & CCF Planned
Credit conversion factors for off-balance sheet exposures, loan equivalency, and exposure measurement.
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Market Risk Modelling
Value at Risk (VaR), Expected Shortfall (ES), stress testing, and sensitivity analysis.
Trading book risk measurement and market risk capital requirements.
Monte Carlo
Monte Carlo Simulation Live
Comprehensive guide to Monte Carlo methods for risk modelling — VaR calculation, portfolio simulation, and scenario generation.
Time Series
ARIMA-GARCH Models Live
Time series forecasting for market risk — volatility modelling, VaR estimation, and stress scenario generation.
VaR Models
Value at Risk Methodologies Coming Soon
Historical simulation, parametric VaR, and backtesting procedures for market risk measurement.
Stress Testing
Market Risk Stress Scenarios Planned
Historical stress periods, hypothetical scenarios, and reverse stress testing for trading portfolios.
Sensitivities
Greeks & Sensitivity Analysis Planned
Delta, gamma, vega, theta, rho calculations and their use in risk management.
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Operational Risk Modelling
Loss distribution approach, scenario analysis, risk control self-assessment.
Capital modelling for operational risk under Basel III/IV.
Monte Carlo
Monte Carlo for OpRisk Live
Monte Carlo simulation techniques for operational risk capital modelling under Loss Distribution Approach.
LDA
Loss Distribution Approach Coming Soon
Frequency and severity distributions, and capital calculation under AMA.
Scenario Analysis
OpRisk Scenario Modelling Planned
Expert judgement, workshop facilitation, and scenario quantification techniques.
BI Component
Business Indicator Component Live
Standardised Approach (SA-OpRisk) calculation under Basel III with ILM adjustment.
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IFRS 9 & ECL Modelling
Expected Credit Loss models, staging criteria, forward-looking information.
PD term structure, lifetime vs 12-month ECL, and macroeconomic scenarios.
ECL Models
Expected Credit Loss Calculation Live
Three-stage model, SICR assessment, and ECL computation with multiple scenarios.
Forward-Looking
Macroeconomic Scenarios Coming Soon
Baseline, upside, and downside scenarios for GDP, unemployment, HPI, and interest rates.
Staging
SICR Assessment Models Planned
Quantitative and qualitative triggers for stage transfer under IFRS 9.
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Stress Testing & Scenario Analysis
ECB stress test models, reverse stress testing, sensitivity analysis.
Integrated stress testing across risk types and business lines.
ECB Stress Test
ECB/EBA Stress Testing Framework Coming Soon
Methodology, scenarios, and reporting requirements for EU-wide stress tests.
Reverse Stress
Reverse Stress Testing Planned
Identifying scenarios that could cause business failure or breach of capital requirements.
Sensitivity
Sensitivity Analysis Techniques Planned
One-factor-at-a-time, tornado diagrams, and global sensitivity analysis.
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Model Risk Management
Model validation, backtesting, benchmarking, and monitoring.
Model risk governance, documentation, and independent review.
Validation
Model Validation Framework Coming Soon
Conceptual soundness, process verification, outcomes analysis, and benchmarking.
Backtesting
Backtesting & Model Monitoring Planned
Statistical tests for model accuracy, stability, and discriminatory power.
Governance
Model Risk Governance Planned
Model inventory, risk rating, approval processes, and ongoing monitoring.
Data Requirements
Data Quality & History
Minimum data requirements, history length, and data quality standards for regulatory models.
Documentation
Model Documentation Standards
Regulatory expectations for model documentation, including development, validation, and use.
Regulatory Approval
ECB/SSM Model Approval
Process for obtaining regulatory approval for IRB models and other advanced approaches.
Software Tools
Modelling Software & Platforms
Overview of commercial and open-source tools