Credit Risk Management 1000-1M11ZRK
The course includes the following topics:
1. The Basics of Credit Risk Management:
the default probability,
the recovery rate,
the exposure at default,
the loss distribution,
the time of default distribution,
economic capital.
2. Basic Models:
the Bernoulli model,
the Poisson model,
CreditMetrics,
KMV,
Credit Risk+,
Credit Portfolio View,
Dynamic Intensity models,
Copula based models,
the Merton model.
3. Credit Derivatives:
credit swaps.
4. Collateralized Debt Obligation (CDO):
description and structure,
modelling.
Type of course
Mode
Bibliography
1. C. Bluhm, L. Overbeck, C. Wagner,
An introduction to credit risk modeling,
Chapman & Hall/CRC 2003.
2. W. Haerdle, T. Kleinov, G. Stahl,
Applied Quantitative Finance, Theory and Computational Tools,
Springer 2002.
3. T. van Gestel, B. Baesens
Credit risk management: basic concepts: financial risk components, rating analysis, models, economic and regulatory capital,
Oxford University Press, 2009.
Additional information
Information on level of this course, year of study and semester when the course unit is delivered, types and amount of class hours - can be found in course structure diagrams of apropriate study programmes. This course is related to the following study programmes:
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: