Classification For Credit Analysis

What characterises a name that is heading for imminent default? This hands-on course implements a machine-learning approach to the problem.


Tech Analysts, S&T Analysts (optionally)

Learning Outcomes

Following the course, participants will be able to:
• Define types of features that might imply an imminent default
Identify such features in a dataset
• Train a decision tree/random forest to identify them automatically, with a statistically-significant level of success
• Identify the characteristics that describe imminent defaulters, based on the model results

Course Content

• What features or series of features might be indicative of an imminent default? Can we draw inferences from the performance of an equity to a credit instrument on the same name, and if so, when?
• Case studies
o Take a dataset of credit instruments and enrich to add further possible features (e.g. in addition to CDS spreads macro data, P/E ratios, PTB, and other fundamentals).
o Run a PCA analysis to extract significant features
o Run a Decision Tree/Random Forest analysis and use to predict possible future occurrences. How do the results of the two methods compare in terms of statistical significance, defaults captured?


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Why study with Alpha?

Innovation and creativity born from experience

We are thought leaders in instructional and learning journey design and holistic solution architects. We have extensive finance and investments experience combined with skills application to deliver performance improving results. We develop immersive learning environments that maximize time to productivity, support talent retention and added value to improving quality of hires.

Knowledge Exchange Evangelists

We are focused on mining the embedded organisational intellectual capital for the benefit of the next generation. We create and curate best in class practice gathered from our experience with the leading financial institutions. We design our programmes with the end in mind – what results are you trying to achieve with this intervention? What metrics will we set ourselves to achieve that?

Generation Proof

Quality and innovation, using current market and industry best practices, have made us a trusted partner in delivering dynamic and motivating training for the financial and capital markets. Our programmes are generation proof and responsive to evolving learner needs and styles. Our solutions use a multi-stakeholder engagement strategy that expands beyond relationships between the learner and learning provider. We create connections with managers, peers and the wider business to drive impactful return on investment..

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The team are so friendly and pleasant to work with, everyone is very professional and keen to help us. Building a relationship over the past couple of years helps us to feel like the Alpha team are even more able to understand our needs and provide more proactive solutions.
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