SPECIAL COURSE
  CREDIT SCORE MODELING FOR BRAZIL

 PURPOSE

To provide modern techniques for evaluation of credit risk and prediction of bankruptcy with emphasis on applications to the Brazilian market.

 MAIN TOPICS

. Univariate and multivariate discriminant analysis
. Approval, price and collaterals
. Behavior score
. Sorting of variables into categories and dummies generation
. Comparison of models
. Correlations and portfolio risk
. Criteria for selecting models
. Definition of good and bad payer
. Performance of a scoring model
. Population stability
. Statistics of Kolmogorov and Smirnov
. Identification of potential variables
. Logit, Probit and discriminant analysis
. Regression methods
. Nature of the credit risk
. Cut-off points and score ranges
. Statistical Prediction of Bankruptcy
. Defaulting probability
. Revenues and recovery rate
. Regression with discreet dependent variables
. Revision of cut-off points
. Selection of sample and type I and type II errors
. Statistical tests and selection of variables and models
. Validation of a scoring model

 
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