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• Basic concepts of rating philosophies – Through the Cycle (TTC) and Point-in-
Time (PIT) PD models.
• LGD definitions – LGD using Market approach, LGD using workout approach
(Choosing the work out period, dealing with incomplete workouts, setting the
discount factor, calculating indirect costs), basic understanding of default
weighted, exposure weighted and time weighted LGD models.
• Performance metrics for LGD models - Root Mean Square error, Mean
Absolute error, Area under Receiving Operation Characteristic curve, Area
under Regression Error Characteristic curve, R-square, Pearson’s Correlation
coefficient, Kendall’s Correlation coefficient,
• Credit Conversion Factors – Definition of CCF, Time horizon for CCF, CCF
distributions and Transformations, cohort/ fixed time horizon/momentum
approach for CCF, risk drivers for CCF, modelling CCF using segmentation
and regression approaches.
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