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:
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.