Training & Learning



Credit Risk Management with MATLAB

Course Cost: R 6 630.00

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

Course Schedule

Dates Location Length Register
21 June 2018 JHB 1 days Register