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Credit Risk Modelling

Credit Risk Modelling

Deadline for registration: 12 June, 2016


  • Background

    Is Credit Risk modelling dead after the recent financial crisis? Should banks follow pre-define rules for calculating credit-risk related capital requirements (also denominated “standardized approach”) instead of using tailor-made credit risk models (“Advanced Internal Rating-Based approach”)? In order to answer these questions, it is important to have a clear understanding of the benchmark techniques currently in use by the financial industry (in particular, the assumptions over which they are based and their limitations). This course aims to provide a first step on that direction.
  • Why this course

    This is an introductory course on Credit Risk. As such it will cover some of the benchmark approaches for estimating the key AIRB parameters (PD, LGD and EAD). It will also discuss the regulatory requirements related to each of them. Some of these approaches will be implemented using the software R.
  • How will the course work?

    The course will run over three mornings and two afternoons. Morning sessions will cover some theoretical aspects of the modelling of PDs, LGDs and EADs and discussion on regulatory requirements. Afternoons are devoted for empirical work and discussions. We will use R codes.
  • Who is the training for?

    Financial stability and research department of Central Banks, private sector economists, bank officials, regulators, supervisors, EBA, SSM, SRB, ESBR, EU officials.
  • What do you need to know to follow this course

    Basic knowledge on statistics and finance. Programing skills is a plus.
  • Required material for attending the course

    Laptop, Programs R and R-studio

    See more information
  • What you’ll learn

    At the end of this course you will:
    • Have a good understanding of regulatory requirements for modelling PD, LGD and EAD
    • Receive presentations on some of the reference approaches for modelling credit parameters
    • Acquired some practical skills for credit risk modelling
    • Have created a network of professionals working on similar topics and facing similar issues
  • Meet the course instructor

    Arturo Ormeño is a Senior Risk Modeller at Credit Suisse. He has been working in the areas of Credit Risk, Stress Testing and Macroeconomic Modelling and Forecasting. Previous working experience includes the Central Bank of Peru, Merrill Lynch Japan and the University of Amsterdam. He also worked as consultant for the World Bank and the Peruvian government. Arturo received his Ph.D. in Economics from the University Pompeu Fabra (Barcelona – Spain) in 2011.
  • Course fees

    1500 € – Public Authorities (e.g. National Competent Authorities, Central Banks) and European Institutions*

    2000€ – Private Sector

    850€ – Students (with certificate of studies)**

    * In case of registration of 2 participants from the same institution a third person may attend for free. For more details, please contact fbf@eui.eu
    ** Limited places are available, please apply through the registration form.
  • Schedule of the course

    Day 1: Probability of Default (PD) calibration and validation
    Day 2: Loss Given Default (LGD): What do we know about LGDs? Discount rate in LGDs. Regulatory updates regarding LGDs
    Day 3: Credit Conversion Factor (CCF): Variable Time Horizon (VTH) vs. Fixed Time Horizon (FTH) methodologies
  • Practical information for the registered participants


    Recommended hotels:
    Hotel Villa La Stella (20 min walking distance from EUI )
    Hotel Cellai
    Hotel Palazzo Ricasoli
    Hotel de la Pace
    Hotel Athenaeum 


    Participants are requested to bring their own laptop.


    On arrival, you will be provided with temporary wi-fi access for the whole duration of the course. 



    From the airport

    Florence airport is located 8km from the centre, approx. 30 minutes by taxi or bus. Taxis can normally be found outside the arrival terminal. The airport is also connected to the main railway station by a shuttle bus that leaves every 30 minutes (on the hour and half-hour) and takes 25 minutes. Tickets are available on board for € 6.00.


    +39 055 4390 / +39 055 4242
    From Florence Airport Peretola to downtown Firenze about 25/30 minutes (approx. 25-30 €)
    From Florence central railway station Santa Maria Novella to the European University Institute: about 20-30  minutes (approx. 30-35 €)

    Private car

    From the A1 Milano-Napoli (Autostrada del Sole), take the Firenze Sud exit and follow directions to the centre of town/Stadio. Follow Stadio then Fiesole. San Domenico is on the main road to Fiesole.

    Public Bus
    From Piazza San Marco, take bus no. 7 in the direction ‘Fiesole’ and get off at ‘San Domenico 1 – Università Europea’.  For bus routes and timetables consult: http://goo.gl/Ydj8K

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    For general queries: francesca.elia@eui.eu