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Objectives
Participants are expected to:
-Have basic knowledge about the specificities of the banking, insurance, asset management and enterprise environments.
-Understand the concepts and theories of credit risk (Portfolio, Derivatives, Ranking)
-Be able to apply the mechanics and techniques of the assessment, quantification and management of credit risk
Target Attendees / Participants
University students of Steinbeis European Master Program in Risk Engineering and Management, and similar programs.
Course Content by Units
Introduction to Credit Assessment Methods
Credit Ranking
Credit Scoring and Modelling Default
Credit Risk Portfolio Model
Market Default Models
The Insurance Approach: CreditRisk+
Comparison of the models
Credit Derivatives
Case: Managing Credit Risk in a Corporate Environment
Bankruptcy
Teaching Methods
The course includes:
- introductory note explaining aim and structure of the course, and used methodology as well
- ex cathedra lecturing illustrated by number of examples
- review of main topics in the end of each lecturing unit
- case Study
Literature
-David C. M. Dickson (2005). Insurance Risk and Ruin (International Series on Actuarial Science), Cambridge University Press
-Greg N. Gregoriou, Marco Micocci, Giovanni Batista Masala (2010). Pension Fund Risk Management: Financial and Actuarial Modeling (Chapman & Hall/Crc Finance Series)
-Gunter Loeffler, Peter N. Posch (2007). Credit Risk Modeling using Excel and VBA (The Wiley Finance Series)
-Marco Corazza, Pizzi Claudio (2010). Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer
-Niklas Wagner (2008). Credit Risk: Models, Derivatives, and Management (Chapman & Hall/CRC Financial Mathematics Series)
-Ngai Hang Chan, Hoi-Ying Wong (2006). Simulation Techniques in Financial Risk Management (Statistics in Practice), Wiley-Interscience
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