Summary:
This course is a CrashProgram (short course) in the use of Python and the package TransitionMatrix for analysing credit migration data.
Requirements:
The course is a medium technical level. It requires some familiarity with python (and a working installation that includes the common numpy/scipy libraries). On the risk modelling side it requires knowledge of basic credit rating migration concepts.
Outcomes:
Step by step we build the knowledge required to use python to analyse credit migration data:
- We learn to work with basic transition matrix data objects
- We explore the estimation of matrices using the cohort method
- We look into visualization of data sets
- The working examples are based on both synthetic data and the published LendingClub dataset
Course Level and Type:
| Introductory Level | Core Level | Advanced Level | |
| Non-Technical | |||
| Technical | CrashProgram PYT26038 |
Summary:
This course is a CrashProgram in the use of python for risk modelling purposes, in particular credit concentration measurement. The course requires little or no prior knowledge of python (but indeed prior programming knowledge in some language is required). There is little or no prior knowledge of concentration risk measurement but general background in credit risk management is useful for context.
Content:
The course covers the following topics:
- Step by step we build the knowledge required to use python to meet a typical modern risk management challenge
- Examples are drawn from the two primary areas of credit concentration: name and sector concentration
Course Level and Type:
| Introductory Level | Core Level | Advanced Level | |
| Non-Technical | |||
| Technical | CrashProgram PYT13013 |