Risk Modeling using Python is a collection of online resources to assist developers interested developing risk models using Python
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Python is the swiss knife of modern programming languages and a prime candidate to be also the swiss knife for risk modelling

This course is a CrashProgram (short course) in the use of Python and the package TransitionMatrix for analysing credit migration data. 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. 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
Python is the swiss knife of modern programming languages and a prime candidate to be also the swiss knife for risk modelling

This course is a CrashProgram in the use of python for credit portfolio modelling purposes, in particular working with data templates and spreadsheets. The course requires some prior knowledge of python (and indeed prior programming knowledge in some language is required) and, of course, also spreadsheets. The course covers the following topics:

  • Overview of the loan level templates (ECB SME version)
  • Manipulating spreadsheets with Python
  • The python dictionary data type
  • Organization of the loan data fields
  • Generating test portfolios

Course Level and Type:

Introductory Level Core Level Advanced Level
Non-Technical
Technical CrashProgram
SME03030
Python is the swiss knife of modern programming languages and a prime candidate to be also the swiss knife for risk modelling

This course is a CrashProgram in the use of the MongoDB database in conjunction with Python for credit portfolio management purposes. The course requires little or no prior knowledge of mongoDB, and basic knowledge of python (but prior programming knowledge in some language is required). The course covers the following topics:

  • Introduction to MongoDB its data model and operations on data
  • Using python to access the database
  • Developing LoanDB, a document design conforming to SME Loan Level Data standard
  • Using map/reduce to extract data and python to apply a simple credit scoring model

Course Level and Type:

Introductory Level Core Level Advanced Level
Non-Technical
Technical CrashProgram
MSM03032
Python is the swiss knife of modern programming languages and a prime candidate to be also the swiss knife for risk modelling

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. 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