JUMOQ Learning · Expected Credit Loss (ECL)

Lifetime PD, Transition Matrices and Term Structures

Construct and interpret lifetime PD estimates, transition matrices and term structures.

ECL-I04Intermediate

Course director: Venkata Subramani Ramachandra

4 hr 32 minFull study estimate

Full study estimate: 4 hr 32 min

Self-paced estimates for one pass through the course. Practical work includes activities, assignments and resource study. Your pace may vary; breaks and repeat attempts are extra. All course and certificate requirements still apply.

Inside this course

Select a topic to see its lessons, videos, practice activities and resources.

Course orientation

LessonCourse Overview
LessonIntermediate Pathway Orientation
VideoIntermediate ECL Orientation: From Components to Borrower-Specific AssessmentScheduled — upload pending

From One-Year PD to Lifetime Default Risk

LessonFrom One-Year PD to Lifetime Default Risk
QuizKnowledge Check - PD Definitions and Survival

Construct Cohorts and One-Period Transition Matrices

LessonConstruct Cohorts and One-Period Transition Matrices
QuizKnowledge Check - Cohorts and Transition Matrices

Extend Transition Matrices Across Multiple Periods

LessonExtend Transition Matrices Across Multiple Periods
VideoBuild a Transition Matrix from Cohort DataScheduled — upload pending
QuizKnowledge Check - Multi-Period Matrices
Decision MissionModel Committee Mission - Choose the Lifetime PD Construction
Downloadable resourceDecision Mission Model Debrief

Build Marginal and Cumulative Lifetime PD Term Structures

LessonBuild Marginal and Cumulative Lifetime PD Term Structures
QuizKnowledge Check - Term Structures
Practice LabBuild a Transition Matrix and Lifetime PD Curves
Downloadable resourcePractice Lab Learner Workbook

Calibrate Lifetime PD for Current and Forward-Looking Conditions

LessonCalibrate Lifetime PD for Current and Forward-Looking Conditions
VideoConvert Migration into a Lifetime PD Term StructureScheduled — upload pending
QuizKnowledge Check - Calibration and Scenarios
Impact SimulatorLifetime PD Calibration and Shape Simulator

Validate, Monitor and Govern Lifetime PD Models

LessonValidate, Monitor and Govern Lifetime PD Models
VideoCalibrate, Validate and Govern Lifetime PDScheduled — upload pending
QuizKnowledge Check - Validation and Governance
AssignmentDevelop a Lifetime PD Methodology
Downloadable resourceLifetime PD Build and Review Checklist
Downloadable resourceLifetime PD Dataset and Model Pack
LessonLifetime PD and Transition Matrix Glossary
Downloadable resourceECL End-to-End Process Map
Downloadable resourceECL Data Quality Checklist
Downloadable resourceECL Governance RACI
Downloadable resourceSample Loan Portfolio Dataset
Downloadable resourceAccessibility and Inclusive-Learning Guide

Final Assessment

QuizFinal Assessment - Lifetime PD, Transition Matrices and Term Structures

Certificate

CertificateCertificate of completionUnlocks after every quiz is completed at its required pass mark and all course requirements are complete.

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