JUMOQ Learning · Expected Credit Loss (ECL)

Point-in-Time Calibration and Macroeconomic Modelling

Design and challenge point-in-time calibration and macroeconomic modelling approaches.

ECL-A01Advanced

Course director: Venkata Subramani Ramachandra

4 hr 50 minFull study estimate

Full study estimate: 4 hr 50 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
LessonAdvanced Pathway Orientation
VideoAdvanced ECL Orientation - Design, Challenge and Defend

Point-in-Time Calibration Architecture: Target, Reference Point and Long-Run Anchor

LessonPoint-in-Time Calibration Architecture: Target, Reference Point and Long-Run Anchor
QuizLesson 1 Knowledge Check - Calibration Architecture

Macroeconomic Data Design and Variable Selection

LessonMacroeconomic Data Design and Variable Selection
QuizLesson 2 Knowledge Check - Macroeconomic Data and Variables
Decision MissionQuarter-End Model Decision - Select the PIT Calibration Route
Downloadable resourceDecision Mission Model Debrief

Building and Calibrating Point-in-Time PD Models

LessonBuilding and Calibrating Point-in-Time PD Models
VideoFrom Long-Run PD to Point-in-Time Probability
QuizLesson 3 Knowledge Check - PIT PD Model Construction
Practice LabCalibrate Scenario-Conditional PIT PD and Lifetime Term Structure
Downloadable resourcePractice Lab Learner Workbook

Scenario-Specific Forecasts, Lifetime Term Structures and Reversion

LessonScenario-Specific Forecasts, Lifetime Term Structures and Reversion
VideoMacroeconomic Modelling Without Look-Ahead Bias
QuizLesson 4 Knowledge Check - Scenario Term Structures and Reversion
Impact SimulatorPIT Macro Impact Simulator - Severity, Correlation and Reversion

Validation, Diagnostics, Challenger Models and Governance

LessonValidation, Diagnostics, Challenger Models and Governance
VideoValidation and Governance of PIT Models
QuizLesson 5 Knowledge Check - Validation and Governance
Case QuestThe Perfect Backtest - Investigate a Suspicious PIT Model
Roleplay StudioIndependent Validation Challenge - Defend the PIT Macro Model
Downloadable resourceCase Quest Evidence Pack
Downloadable resourceCase Quest Model Debrief
AssignmentPIT Calibration and Macroeconomic Model Development Paper
Downloadable resourcePIT Calibration and Macroeconomic Model Review Toolkit
Downloadable resourcePIT Calibration and Macroeconomic Modelling Dataset and Model Pack
Downloadable resourceRoleplay Brief and Rubric
Downloadable resourceRoleplay Model Debrief
LessonPIT Calibration and Macroeconomic Modelling Glossary
Downloadable resourceECL End-to-End Process Map
Downloadable resource

Final Assessment

QuizFinal Assessment - Point-in-Time Calibration and Macroeconomic Modelling

Certificate

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

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