An Introduction to Credit Risk Management
Imagine that you are a bank and a main part of your daily business is to lend money. Unfortunately, lending money is a risky business - there is no 100% guarantee that you will get all your money back. If the borrower defaults, you will face losses in your portfolio. Or, in a bit less extreme scenario, if the credit quality of your counterparty deteriorates according to some rating system, the loan will become more risky. These are typical situations in which credit risk manifests itself.
According to the Basel Accords, a global regulation framework for financial institutions, credit risk is one of the three fundamental risks a bank or any other regulated financial institution has to face when operating in the markets (the two other risks being market risk and operational risk). As the 2008 financial crisis has shown us, a correct understanding of credit risk and the ability to manage it are fundamental in today’s world.
This course offers you an introduction to credit risk modelling and hedging. We will approach credit risk from the point of view of banks, but most of the tools and models we will overview can be beneficial at the corporate level as well.
At the end of the course, you will be able to understand and correctly use the basic tools of credit risk management, both from a theoretical and, most of all, a practical point of view. For each methodology, we will analyse its strengths as well as its weaknesses. We will do this in a rigorous way, but also with fun: there is no need to be boring.
What you'll learn
- 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
Get a Reminder
Rating | 4.3★ based on 6 ratings |
---|---|
Length | 7 weeks |
Effort | 7 weeks, 6–7 hours per week |
Starts | On Demand (Start anytime) |
Cost | $249 |
From | Delft University of Technology (TU Delft), DelftX, Delft University of Technology via edX |
Instructors | Pasquale Cirillo, Fang Fang |
Download Videos | On all desktop and mobile devices |
Language | English |
Subjects | Business Data Science |
Tags | Business & Management Data Analysis & Statistics Economics & Finance |
Get a Reminder
Similar Courses
What people are saying
understanding at least partially
My advice is to skip mathematical and programming parts if you don't want to get into that and you will still find this course very useful in understanding at least partially the framework of credit risk management.
framework of credit risk
honesty of dr. cirillo
And above all, thanks to the honesty of Dr. Cirillo you'll find very interesting resources about the flaws in the system during the recent crisis e.g.
still find this course
interesting resources about
patience while taking
Also you will run Introduction to R. However you should be patience while taking the class.
basel accords
credit rating
my advice
r. however
swan audition
taleb 's black swan
Careers
An overview of related careers and their average salaries in the US. Bars indicate income percentile.
Credit and Risk Analyst $63k
Credit Risk Specialist 2 $63k
Credit Risk Coordinator $65k
Credit/Risk Specialist $67k
Credit Risk Metrics Specialist $72k
Credit risk leader $76k
Credit Risk Strategist $82k
Credit Policy & Risk Analyst $82k
Credit Risk Officer 1 $97k
Credit/Risk Analyst $104k
Credit Officer, Credit Risk Management $128k
International Risk & Credit Controller $156k
Reviews
Sorted by most helpful reviews first
Guest says:
Excellent. This gave me much better perspective about financial and credit risk, particularly when it comes to thinking about counterparty risk as relates to my role in bank.
Write a review
Your opinion matters. Tell us what you think.
Please login to leave a review
Rating | 4.3★ based on 6 ratings |
---|---|
Length | 7 weeks |
Effort | 7 weeks, 6–7 hours per week |
Starts | On Demand (Start anytime) |
Cost | $249 |
From | Delft University of Technology (TU Delft), DelftX, Delft University of Technology via edX |
Instructors | Pasquale Cirillo, Fang Fang |
Download Videos | On all desktop and mobile devices |
Language | English |
Subjects | Business Data Science |
Tags | Business & Management Data Analysis & Statistics Economics & Finance |
Similar Courses
Sorted by relevance
Like this course?
Here's what to do next:
- Save this course for later
- Get more details from the course provider
- Enroll in this course