Credit risk has only recently in history translated into modeling for a complete view of credit risk on a portfolio basis. Before new post-2007-crisis regulations emerged, new modeling techniques have been devised, not all of them successful, to ensure that the overall credit-risky positions were well understood and made more conform to what a financial institution thinks of itself and of its mission.
In this course, we provides an overview of credit risk and a review of the modern techniques to model and quantify credit risk components such as probability of default and loss given default, in all areas of lending. There are no formal prerequisites.
- Understand practical insights of what it takes for a bank to set up a sensible and compliant Framework for modeling credit risk
- Analyze individual credit risks
- Understand and put a critical view on existing modeling frameworks
- Prerequisites to credit risk modeling
- Credit risk and Basel Accords
- Modeling and capital requirement in Basel III
- Pillars 2 and 3 in Basel, for credit risk
- Traditional credit risk modeling
- Altman Z score
- Portfolio-based credit risk models
- Validating credit risk models