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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

Course Curriculum

Module: 01
1.1 Credit Risk 00:05:00
1.2 Basel II 00:12:00
1.3 Basel III 00:11:00
1.4 Summary 00:05:00
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
2.4 Summary 00:03:00
3.1 Introducing Value-at-Risk 00:07:00
Module: 02
3.2 Special VaRs and the Expected Shortfall 00:12:00
3.3 Coherent Measures of Risk and Back-testing 00:15:00
3.4 Summary 00:04:00
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
4.4 Summary 00:03:00
5.1 Merton’s Model I 00:09:00
5.2 Merton’s Model II 00:12:00
Module: 03
5.3 The KMV Model 00:09:00
5.4 Summary 00:03:00
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
6.4 Summary 00:05:00
7.1 CDS and CDS Spreads 00:07:00
7.2 Stress Testing 00:09:00
7.3 Summary 00:09:00
Submit Your Assignment 00:00:00
Certification 00:00:00

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