Credit Risk Quant Notes & Lab — PD, LGD, EAD, IFRS 9 & IRB (4 real-data projects + 137 pages)
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About this resource
Learn credit risk the way a bank credit-risk modeller or validator has to defend it: from the default definition and the scorecard to LGD, EAD, IFRS 9 expected credit loss and IRB capital. This Desk2Quant pack contains 137 pages of playbook-style notes across 19 modules (plain-English intuition, core equations, direct-proportional relationships, mnemonics, worked examples, desk scenarios, real-data checks, 60 interview Q&As and 22 worked problems) and a 4-project Credit Risk Quant Lab built on 30,000 real credit-card accounts and 40 years of U.S. credit and macro data.
Projects: (1) PD scorecard: data quality, WoE/IV, guarded stepwise logistic regression, points table, Gini with DeLong and bootstrap intervals, Hosmer–Lemeshow, master scale with binomial and Jeffreys tests, PSI/CSI and cut-off analysis; (2) LGD and EAD: credit conversion factors on real defaulters, four EAD estimators, two-stage cure/severity LGD, downturn period identified from Fed and FHFA data, downturn LGD and floors; (3) IFRS 9 ECL engine: roll-rate matrices, lifetime PD term structures, SICR staging, scenario-weighted ECL, stage-movement and sensitivity tables; (4) IRB capital and stress test: QRRE risk weights with Basel III floors, standardised approach and output floor, EL vs provisions, Monte Carlo check, implied asset correlation, macro satellite with GFC back-test, stress and reverse stress tests.
Included: notes PDF, code companion that reproduces every number in the notes, executed Jupyter notebooks + HTML exports, reusable Python library (scorecard, validation, calibration, Markov, LGD/EAD, IFRS 9, IRB, portfolio, macro), 25-test regression suite, output CSVs, methodology PDFs, data sources and licences, Basel parameter-verification table and a realism review.
Positioning: realistic educational projects with transparent simplifications (the mortgage workout loans are constructed on real macro data, and card LGD and behavioural life are stated assumptions); not an approved rating system, IFRS 9 engine or regulatory capital calculator.
Launch offer: use code CR20 for 20% off.
What you get
- Instant digital delivery by email after purchase
- Written by a practising quantitative risk modeller
- Desk-focused material, not textbook theory
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Frequently asked questions
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Who is Credit Risk Quant Notes & Lab — PD, LGD, EAD, IFRS 9 & IRB (4 real-data projects + 137 pages) designed for?
It is designed for quantitative-finance candidates and practitioners who want desk-focused explanations, practical diagnostics and interview-ready reasoning.
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Get Credit Risk Quant Notes & Lab — PD, LGD, EAD, IFRS 9 & IRB (4 real-data projects + 137 pages)