2 Days/ 12 hours Workshop Details:

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Module 1 (3 hours)

Time	Topic
80min	Data Pre-processing and Credit Scoring Credit scoring techniques for corporate & retail data Outlier detection Standardisation & categorisation Default definitions Non-monotone relations between defaults and risk factors Weight-of-evidence, categorisation, splines Multivariate non-monotone relationship
20min	Break
80min	Probabilities of Default (PD) — Expected PD Discrete time models (Logit & Probit) Comprehensive modeling including vintage, age and time effects Maximum likelihood estimation Model stability, discrimination & calibration

Module 2 (3 hours):

Time	Topic
80min	Machine Learning Concepts Statistical and Machine Learning thinking Loss functions Train-Test validation split Standardisation and Scaling Bias-Variance tradeoff Oversampling and Undersampling Cross-Validation Hyper-Parameters and Tuning Supervised and Unsupervised Learning Classification and Regression vs. Dimensionality Reduction
20min	Break
80min	Machine Learning Validation Validation framework Backtesting PDs: Discrimination, Calibration, Stability Confusion matrix, ROC curves, AUROC & accuracy ratio Brier scores Binomial test Jefreys prior test Hosmer-Lemeshow Calibration curve and reliability diagram Tests on model stability Portfolio dependence Traffic lights Qualitative validation

Module 3 (3 hours):

Time	Topic
80min	Supervised Machine Learning for PDs — Standalone Techniques Logistic regression K nearest neighbours Decision trees Bagging Random forests
20min	Break
80min	Supervised Machine Learning for PDs — Boosting Boosting Adaptive Boosting Gradient Boosting Stochastic Gradient Boosting Light GBM

Module 4 (3 hours):

Time	Topic
80min	Supervised Machine Learning for PDs - Deep Learning Deep Learning Neural Networks Support Vector Machines
20min	Break
80min	Probabilities of Default (PD) – Crisis PDs Through-The-Cycle & Point-In-Time Predicting financial crises Margin of Conservatism (MoC) Stress-testing CECL and IFRS 9 models for multi-period PDs Roll rates Age splines and macroeconomic predictions Survival models

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