An Introduction to Credit Risk Management

Course
en
English
42 h
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  • Self-paced
  • Free Access
  • Fee-based Certificate
More info
  • 7 Sequences
  • Intermediate Level

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Course details

Syllabus

  • The definition and the implications of credit risk for banks and other financial institutions
  • The most recent risk regulations for banks: Basel II and Basel III
  • How to critically use basic measures of risk like Value-at-Risk and Expected Shortfall: computation and interpretation
  • The definition and the use of credit ratings
  • How to define the probability of default of a counterparty
  • Important credit risk models like Merton’s model, the Moody’s KMV model, CreditMetrics™ and Credit Risk Plus™
  • The basics of Credit Default Swaps (CDS)
  • What stress-testing is and why it is useful

Prerequisite

Introductory courses in Statistics and Probability; basic knowledge of the financial vocabulary.

Instructors

Pasquale Cirillo
Associate Professor, Applied Probability, Applied Mathematics
Delft University of Technology

Fang Fang
Assistant Professor at the Department of Applied Mathematics
Delft University of Technology

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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