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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Macro Econometric IFRS9 and Stress Test Models using Survival Analysis with SAS/STAT

A two-day practical course on developing an Econometric IFRS9 Lifetime Probability of Default under Stress Test Scenario in a step-by-step approach using SAS/STAT

4-5 Sep 2017
Central London, United Kingdom

Why You Should Attend

Macro Econometric IFRS9 and Stress Test Models using Survival Analysis with SAS/STAT

To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set up for the delivery of our courses. Please note we have therefore limited number of spaces available and these will be assigned on a first come, first accepted basis. We recommend early booking to avoid disappointment.

How will you benefit?

Under the new IFRS9 guidelines, financial institutions will face a number of measures designed to forecast their Losses using Lifetime probabilities of Default.

This process must include Econometric Stress Test, which often results in a Time Dependent Model. This course uses stress tests of risk measures and evaluations of the risk management structure to determine whether capital can be moved and allocated where needed by developing Advanced Survival Analysis models using SAS/STAT by incorporating variables as GDP, unemployment and interest rates in long terms forecasting.

About your expert trainer:

Jorge Ribeiro has a Master’s degree in Mathematics, a Post-Graduation in Financial Modelling and a Doctorate in Econometrics. Alongside working internationally as an independent SAS consultant with the likes of Barclays, National Australia Bank, HML and the Direct Line Group for the last 21 years; he has held tenure as a Professor of Applied Econometrics and Stress Test in France and Brazil. Nine years ago, he began delivering international training in SAS modelling using SAS ETS(Econometric Time Series), SAS/STAT and Data Mining.

An expert in Multi SAS platform as SAS Ent Miner applied in Mortgages services using Survival models, Business Intelligence using SAS/ ETS and Simulation Studio to create Optimization Models for Call Centres; Jorge is also the author of two SAS books including “Introduction to Financial Survival Analysis using SAS" and "Advanced Survival Analysis applied to Stress Test and IFRS9 models using SAS".

Pre-course questionnaire:

A detailed questionnaire will be sent to all course participants to establish exactly where the group training needs lie. The completed forms will be analysed by the course leader/trainer and followed by telephone if further clarification is required. As a result we can guarantee that the course is pitched at exactly the right level and that the issues that you regard as relevant are addressed. The course material will reflect these issues and will enable you to digest the subject matter after the event in your own time.

Why Choose GFMI marcus evans?

marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.

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Event Contact

For all enquiries regarding speaking, sponsoring and attending this conference contact:

Gareth Banks

101 Finsbury Pavement
London EC2A 1RS

+44 (0) 20 3002 3400
Fax: +44 (0) 20 3002 3016
Email: garethb@marcusevansuk.com