Syllabus
1) Most popular statistical models for credit risk scoring - logistic regression, decision trees, gradient boosting method. 2) Procedures how to use scoring models in practice and how to estimate risk of single loan and whole portfolios. Emphasis will be put on the link between theoretical knowledge and procedures used in banking practice.
Annotation
First part of this course covers most popular statistical models for credit risk scoring - logistic regression, decision trees, gradient boosting method.
In following lectures, students will get familiar with procedures how to use scoring models in practice and how to estimate risk of single loan and whole portfolios.
Emphasis will be put on the link between theoretical knowledge and procedures used in banking practice.