Demystifying Statistical Modeling - Designing, developing and deploying effective statistical models

In this session, we go over the Modeling Framework, how to implement Models to meet Risk Management Framework in Banks and Key Approaches. Followed by a Q&A session.
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Timestamps:
0:00 - Introduction
2:22 - Agenda
3:15 - Our PoV: Banks today look at Modeling as an essential tool in the context of Business Strategy
6:14 - Models are Essential for Banks - But How Do We Know They're Right
12:35 - What is a Model?
17:16 - What we are trying to model in a bank?
19:56 - Types of Models in Credit Risk
28:34 - Heuristic Model
32:23 - Statistical Modeling-Altman's Z Square
36.37 - Analytic Hierarchy Process
37:08 - School selection by AHP
42:15 - Pros & Cons of the 3 Approaches
43:00 - How to build Credit Scoring Models
43:34 - Limitations of credit scoring
44:34 - Credit scoring - statistical approach - step by step
48:23 - Variable Selection
48:47 - Statistical Methods for Model Building
50:48 - R Program for various statistical methods
51:41 - Credit Scoring Retail - a project report
52:30 - The Final Model
52:45 - Definition of Default
53:58 - Methodology - Cohort Method
55:21 - Duration Method
57:13 - Transition Matrix for Borrowers with Limit above 100 million INR for Common Sample - Cohort Method
59:57 - Concluding Observations
1:00:14 - Model Validation
1:01:04 - Modeling for IFRS 9 requirements
1:02:34 - Concluding Remarks
1:03:07 - Q&A Session