Webinar workshop on LGD modelling with GCD data
Get hands on with LGD Modelling using LGD Data: Webinar workshop with FCG on a model building exercise
Philip Winckle is joined by modelling expert Thomas Aldheimer from FCG to walk through a joint GCD/FCG exercise in using GCD data to build LGD models. The modelling work was overseen and instructed by a GCD member working group and used GCD standard definitions to develop a range of models, with a focus on Machine Learning
The webinar will be in a workshop format with a focus on modelling methods, details and choices made, as well as detailed outcomes.
The event is scheduled on June 16th, 2020 from 3 pm to 5 pm CEST / 9 am to 11 am EST.
On the agenda:
- Explore just how usable GCD data can be when building forward looking LGD models
- Comparing drivers observed in the data to those normally used in the industry
- Explore the additional benefits of using Machine Learning to enhance model predictiveness
This workshop will benefit both hands on modellers and model managers as well as people working with credit risk data who want to see how it is used in practice.