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Objectives
Participants are expected to:
- have basic knowledge about the specificities of the banking, asset management and enterprise environments,
- understand the concepts and theories of credit risk (Portfolio, Derivatives, Ranking) and
- be able to apply the mechanics and techniques of the assessment, quantification and management of credit risk.
Target Attendees / Participants
Students of Steinbeis Master of Business Administration
Course Content by Units
Introduction to Credit Assessment Methods
Credit Ranking
Credit Scoring and Modelling Default
Credit Risk Portfolio Model
Market Default Models
Comparison of the Models
Credit Derivatives
Teaching Methods
The course includes:
- introductory note explaining the aim and structure of the course, as well as the used methodology,
- ex cathedra lecturing illustrated by number of examples,
- review of the main topics at the end of each lecturing unit and
- 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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