Description

A focused course, tailored for you

Credit Risk Modelling for Regulatory Submissions

Build the model validation evidence, stress-test narratives and ECL documentation your supervisors actually read.

Model validation submissions come back with open items not because the underlying work was wrong, but because the documentation left gaps the validator had to flag. ECL staging logic written in prose. Stress scenarios without scenario tables. IFRS 9 overlays buried where auditors cannot find them. Each round-trip costs weeks and erodes the credit team's credibility with Finance and Risk governance.

$199 one-time

Tailored to your situation. Access within 24 hours. 30-day money-back.

Includes a hand-built implementation playbook delivered alongside course access, generated for your specific situation.

Why this course

A Credit Risk Manager owns the model validation package from end to end: PD/LGD/EAD calibration, ECL staging, stress and sensitivity documentation, and the overlay rationale that must satisfy both the internal model review committee and the external auditor. The artefacts exist in fragments across multiple analysts' files. Assembling them into a submission package that closes all pre-identified validator queries on the first pass is a skill built from experience, not from the modelling textbook. Most credit risk professionals learned it by watching a senior colleague do it once, then got thrown in at the deep end. This course makes the full process explicit and repeatable.

What you walk away with

Produce a model validation package that closes all pre-identified open items before the validator sees it.
Write ECL staging documentation that an external auditor can follow without asking follow-up questions.
Build stress-test scenario tables that the credit committee reads as evidence, not narrative.
Structure PD/LGD/EAD calibration write-ups to meet both internal model review and supervisor expectations.
Apply a consistent overlay rationale framework that survives the IFRS 9 audit trail review.
Deliver a repeatable submission process your team can run without senior escalation each cycle.

The 12 modules

Module 1. The Submission Anatomy

Maps every component a model validation package must contain for a wholesale or retail credit book under IFRS 9 and the relevant prudential standard. Covers the structural difference between an initial validation package and an annual model review submission. Identifies the five most common open-item categories and the documentation gap each one reveals. Output: a submission checklist templated to your portfolio type.

Module 2. PD Calibration Documentation

Walks through the write-up of a through-the-cycle PD calibration: long-run average default rate, historical observation window, back-test result tables, and the rating philosophy statement the validator uses to assess conservatism. Covers how to present a thin-data segment override without triggering a model limitation flag. Output: a PD calibration section draft with annotated table shells.

Module 3. LGD and EAD Evidence Packages

Covers downturn LGD estimation documentation: the economic downturn period selection rationale, cure-rate and recovery-rate evidence tables, and the EAD credit conversion factor write-up for off-balance-sheet exposures. Addresses the collateral haircut rationale the auditor checks first. Includes a worked example for a secured commercial real estate exposure. Output: LGD section template with worked example cells.

Module 4. ECL Staging Logic and the Stage 2 Boundary

Documents the significant increase in credit risk criteria in a format the external auditor can trace from policy to data to output. Covers the quantitative backstop, relative and absolute PD thresholds, and the qualitative criteria override log. Addresses the most common audit finding: staging criteria described in policy language that does not match the actual model implementation. Output: a staging criteria matrix template and override log format.

Module 5. Overlay Documentation and the Rationale Trail

Builds the post-model adjustment documentation the model review committee needs: the identified model limitation, the economic or portfolio condition driving the overlay, the sizing methodology, and the exit condition. Covers how to distinguish a management overlay from a model limitation adjustment in the IFRS 9 audit trail. Includes a real-estate sector overlay worked example. Output: overlay rationale one-pager template with approval workflow.

Module 6. Stress Test Scenario Construction

Converts a macro scenario (GDP shock, unemployment path, property price index) into the structured scenario table a credit committee can vote on. Covers the variable selection rationale, the satellite model linkage, and the narrative that explains why the adverse scenario is plausible but not the base case. Addresses the gap between a stress P&L impact number and a scenario documentation package that satisfies the regulator. Output: scenario table template and narrative structure.

Module 7. Sensitivity Analysis Write-Ups

Documents single-variable and multi-variable sensitivity results in the format validators expect: the tested range, the result table, the non-linearity explanation if present, and the management action trigger. Covers how to present a sensitivity that reveals a model cliff-edge without creating a validation finding. Includes a PD sensitivity worked example for a mid-market lending portfolio. Output: sensitivity documentation template with cliff-edge disclosure language.

Module 8. Back-Testing and Model Performance Evidence

Builds the back-test results section: Hosmer-Lemeshow, Gini, and AR statistics presented in a format that distinguishes acceptable variance from model weakness. Covers how to write the performance commentary when a back-test result sits near the threshold, including the corrective action statement the model review committee needs to see. Output: back-test results page template with commentary scaffold.

Module 9. Model Limitations Register

Structures the model limitations register the validator will interrogate: limitation description, materiality assessment, compensating control, and remediation timeline. Covers the difference between a limitation that requires an overlay and one that requires a model development action. Addresses how to present a known limitation that has been present across multiple review cycles without escalating it unnecessarily. Output: model limitations register template with materiality scoring rubric.

Module 10. Responding to Validator Queries

Covers the query-response cycle: structuring a written response that closes the item rather than generating a follow-up, distinguishing a factual clarification from a documentation gap that requires a section rewrite, and the escalation path when a query reveals a genuine model weakness. Includes worked examples of strong and weak responses to the five most common validator open-item types. Output: query-response template and escalation decision tree.

Module 11. Building the Repeatable Submission Process

Converts the one-off submission into a repeatable cycle: the pre-submission internal review checklist, the analyst hand-off format that preserves context across team changes, and the version-control approach that satisfies the model inventory requirement. Covers how to manage a mid-cycle model change notification without a full resubmission. Output: submission process map and internal review checklist.

Module 12. Your Implementation Playbook

Assembles the full set of templates from Modules 1 to 11 into a submission package structure calibrated to your specific portfolio type (retail, wholesale, or specialised lending) and your regulatory jurisdiction. Covers the adaptation required for a large bank's internal model review versus a smaller institution's supervisor submission. The hand-built implementation playbook delivered alongside course access applies all twelve modules to your credit book context. Output: complete submission package template set.

How this addresses your situation

Specific modules that map to what you said you are dealing with.

Validator returns 17 open items on a submission you thought was complete: Modules 1, 8, 10 close the most common gap categories before they are raised.

ECL staging documentation fails the external audit trail review: Modules 4 and 5 produce the staging matrix and overlay rationale the auditor needs to trace policy to data to output.

Stress scenario tables read as narrative rather than evidence: Module 6 converts the macro scenario into the structured table the credit committee votes on.

New analyst on the team has to own the next submission without senior escalation: Module 11 builds the repeatable process and hand-off format that make that possible.

What you get with this course

12 written modules, each with a working template you complete with your own portfolio data
Downloadable template set: submission checklist, PD/LGD/EAD section drafts, ECL staging matrix, overlay rationale one-pager, stress scenario table, back-test results page, model limitations register, query-response template, submission process map
Hand-built implementation playbook tailored to your credit book and regulatory jurisdiction, delivered within 24 hours of course access
Access to the Art of Service learning environment, self-paced, no expiry

What you will have in hand by Day 1, Week 1, Month 1

Within 24 hours your account in the learning environment is provisioned and the tailored implementation playbook is delivered alongside it.

Before and after

Before

Validator returns 12-20 open items each cycle. Submission assembly takes three weeks of senior time. The ECL staging write-up requires a separate audit response. Stress scenario documentation comes back from the credit committee with clarification requests.

After

Pre-submission internal review closes the predictable open items before the validator sees the package. ECL staging documentation passes the audit trail check on first review. Stress scenario tables are structured for credit committee vote, not narrated for them to decode. Junior analysts can own the assembly process.

What happens if you do not address this

Each round-trip through the validator query cycle costs two to four weeks and occupies the most senior credit risk resource on the team. Submissions that repeatedly generate large open-item lists damage the credit function's standing with Risk governance and Finance. The documentation gap is not a modelling problem. It is a skills gap that does not close by doing more modelling.

Who it is for

Credit Risk Managers and Senior Credit Analysts at banks and financial institutions who are responsible for IFRS 9 model development, validation submissions, and stress-test documentation. You understand the mathematics of PD/LGD/EAD modelling but want a faster, more defensible path from analysis to a submission package that does not generate follow-up queries.

Who this is NOT for. Quantitative researchers building novel credit models from scratch. Risk technology vendors building model infrastructure. Credit analysts whose work feeds into someone else's submission process rather than owning it.

How it arrives

Text-based course in the Art of Service learning environment, plus downloadable templates and worked examples for every module, plus the hand-built implementation playbook delivered alongside course access.

Time investment. Eight to twelve hours across the twelve modules. Each module includes one working template; time to complete the template with your own data varies by portfolio complexity.

Why $199 is the right number

Internal training programs cover modelling methodology, not submission documentation craft. External consultants charge day rates to produce the same artefacts this course teaches you to produce yourself. Academic credit risk courses do not cover the validator interface or the audit trail documentation standard.

FAQ

Does this cover IFRS 9 specifically or is it framework-agnostic?

The ECL staging, overlay rationale, and audit trail modules are built around IFRS 9. The PD/LGD/EAD documentation modules apply to both IFRS 9 and IRB approaches under Basel. The implementation playbook is calibrated to your specific framework context.

My portfolio is wholesale commercial lending. Is this relevant?

Yes. The worked examples in Modules 2, 3, 5, and 6 use wholesale and commercial real estate exposures. The implementation playbook is built for your portfolio type.

What if I have a question after completing a module?

Reply to the course delivery email. Gerard responds to technical questions by reply, typically within one business day.

Is this relevant to both internal model review and external supervisor submissions?

Both. Module 1 maps the structural differences between the two submission types. The templates in Modules 2 to 11 are designed to satisfy both audiences with the same underlying documentation package.

30-day money-back guarantee. If after a week of working through the materials this is not what you needed, reply to the receipt email and a full refund is processed. No questions, no forms.

Within 24 hours your account in the learning environment is provisioned and the tailored implementation playbook is delivered alongside it.