IFRS 9 PIT & Lifetime PD Modelling (SAS, English Course)

IFRS 9 PIT & Lifetime PD Modelling (SAS, English Course) - Advanced IFRS 9 credit risk modelling in English — expert course with SAS, real data, and banking insights

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What you'll learn

• Build and calibrate Point-in-Time Probability of Default (PIT PD) models using SAS to align with observed default experience.
• Apply forward-looking macroeconomic adjustments by integrating GDP, unemployment, interest rates, and other drivers into PD forecasts.
• Implement multiple scenario approaches (base, upside, downside) with probability weighting to generate robust IFRS 9 Expected Credit Loss (ECL) estimates.
• Develop automated SAS frameworks and macros for PIT PD modelling, calibration, scenario generation, and audit-ready reporting.
• Design Lifetime PD models using transition matrices and survival analysis, and link them to ECL calculation engines.
• Ensure regulatory compliance with IFRS 9 and Basel guidelines, including staging (SICR), documentation, and model validation best practices.