信用风险管理入门

An Introduction to Credit Risk Management

What is credit risk? Why is it so important, in modern economies, to correctly deal with it? This course combines theory with practice to answer these questions.

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代尔夫特理工大学
edX
  • 完成时间大约为 7
  • 中级
  • 英语
注:因开课平台的各种因素变化,以上开课日期仅供参考

你将学到什么

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

课程概况

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.

预备知识

Introductory courses in Statistics and Probability; basic knowledge of the financial vocabulary.

常见问题

What is the estimated effort for course?

The total effort is 48 hours. You can decide for yourself when you will work on the course.

How much does it cost to take the course?

Nothing! The course is free.

Will the text of the lectures be available?

Yes. All of our lectures will have transcripts synced to the videos.

Do I need to watch the lectures live?

No. You can watch the lectures at your leisure.

Is this course related to campus courses of Delft University of Technology?

Yes, this course can be seen as an evolution of the WI3421TU Risk Management course, a compulsory course of the Minor Finance at TU Delft.

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