Training & Learning



Credit Risk Management with MATLAB

Course Cost: R 7 290.00

This one-day course provides a comprehensive introduction to modeling credit risk using MATLAB® and computational finance toolboxes. The course is intended for risk practitioners with prior experience of MATLAB, developing credit risk models using common modeling practices and the Basel II/III advanced internal ratings based approach. High-level course themes include:

  • Creating and evaluating classifications of credit
  • Modeling consumer credit
  • Performing ad-hoc concentration analysis
  • Fitting discrete interest rate models
  • Implementing reduced-form, structural and historical probability of default models
  • Determining capital requirements with the asymptotic single risk factor (ASRF) model
  • Assessing credit transition probabilities

Prerequisites: MATLAB for Financial Applications

Download the course outline

The transitional probability and matrix sections I’ve had to do with pain in excel, would be interesting to apply in MATLAB”Xolani Nkosi, Senior Manager: Pricing and Underwriting, African Bank.