This course offers students an introduction to credit risk modeling and hedging. It will approach credit risk from the point of banks, but most of the tools and models will overview can be beneficial at the corporate level as well. End of the course, students will be able to understand basic tools of credit risk management, both from a theoretical and a practical point of view.
This course does not involve any written exams. Students need to answer 5 assignment questions to complete the course, the answers will be in the form of written work in pdf or word. Students can write the answers in their own time. Each answer needs to be 200 words (1 Page). Once the answers are submitted, the tutor will check and assess the work.
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Course Credit: TU Delft
|1.1 Credit Risk||00:05:00|
|1.2 Basel II||00:12:00|
|1.3 Basel III||00:11:00|
|2.1 The Standardization Approach||00:10:00|
|2.2 Internal-Rating Based Approaches||00:07:00|
|2.3 An Introduction to R||00:09:00|
|3.1 Introducing Value-at-Risk||00:07:00|
|3.2 Special VaRs and the Expected Shortfall||00:12:00|
|3.3 Coherent Measures of Risk and Back-testing||00:15:00|
|4.1 Introduction and Overview||00:04:00|
|4.2 External Credit Ratings||00:09:00|
|4.3 Internal Ratings and Recovery Rates||00:06:00|
|5.1 Merton’s Model I||00:09:00|
|5.2 Merton’s Model II||00:12:00|
|5.3 The KMV Model||00:09:00|
|6.1 Credit Metrics||00:11:00|
|6.2 C-VaR and F-IRB Capital Requirements||00:12:00|
|6.3 Credit Risk Plus||00:06:00|
|7.1 CDS and CDS Spreads||00:07:00|
|7.2 Stress Testing||00:09:00|
|Submit Your Assignment||00:00:00|
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