Advanced Credit Risk Management

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  • 6 Sequences
  • Introductive Level
  • Starts on November 30, 2015
  • Ends on January 21, 2016

You can't access an archived course

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Course details

Syllabus

  • Gain knowledge about the latest regulatory developments, such as IFRS9 and the future Basel IV.
  • Develop a more solid understanding of the mathematics behind credit risk modeling, which will help you to better understand the foundation of the formulas and models you regularly use.
  • Analyze the strengths and weaknesses of important credit risk models.
  • Work with model risk and error quantification.
  • Explore open questions like small sample corrections and dependence modeling.
  • Investigate the implications of dropping assumptions like Gaussianity.

The course includes 2-week break during the Christmas holiday.

Prerequisite

None.

Instructors

  • Pasquale Cirillo

Editor

Delft University of Technology (in Dutch: Technische Universiteit Delft), better known as TU Delft, is the oldest and largest public university in the Netherlands. 

It is based in Delft, in the Netherlands. In the QS World University Rankings 2022, it is ranked among the top 10 engineering and technology universities in the world. In architecture and civil engineering, it was ranked 2nd in the world, after MIT (Massachusetts Institute of Technology).

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