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Event Information

Start Time: 13 June 2013 09:00
End Time: 13 June 2013 17:00



Advanced Statistical Methods in Credit Risk
at the Royal Statistical Society, 12 Errol Street, London EC1Y 8LX

There remain many outstanding statistical challenges in modelling and estimating Credit Risk. In this workshop we will explore several of these challenges and offer some advanced and novel methods for tackling them. In particular, presentations will be given addressing statistical issues in: stress testing; model validation; the use of alternative distribution structures for modelling rare events; dynamic models allowing the inclusion of time-varying behavioural and macroeconomic conditions; and multivariate mixture regression models, enabling the decomposition of different aspects of credit risk.
 
This workshop will be of value to credit risk analysts and statisticians working in the financial industry.

Speakers:
•         Prof Daniel Rosch, Leibniz University Hannover, Germany
Empirical Approaches for Estimating Systematic Risk of Debt Securities
•         Prof Jonathan Crook, University of Edinburgh Business School
•         Dr Alan Forrest, Royal Bank of Scotland
How Wrong is your Model? Efficient Assessment of Model Risk
•         Dr Christophe Mues, University of Southampton
•         Dr Tony Bellotti, Imperial College London

The workshop will be introduced by Professor David Hand, Imperial College London

Please register using the relevant booking form.


This workshop is also advertised on www.KDnuggets.com - Analytics, Data Mining, and Data Science Resources





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