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 Assessment

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 Data
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 Structure
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 PD
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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