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Delft University of Technology

Advanced Credit Risk Management

Delft University of Technology via edX

Overview

This course covers cutting-edge topics of credit risk management in a rigorous yet inspiring way.

The playing field of credit risk professionals, consultants and managers is continually changing. Developments in financial markets and updates in regulatory frameworks make it a challenging field that makes it vital for you to stay on top of your game. But how?

The Advanced Credit Risk Management course from TU Delft, a course designed specifically for risk professionals, provides a unique opportunity to take the next step in credit risk management and helps you in contributing to the stability and economic sustainability of lending institutions.

This course is for anyone who wants or needs a deeper understanding of credit risk topics in order to advance current work tasks or support future professional development. The course balances between theory and practice to make it both challenging and valuable for your work. But the course is not just about increased knowledge: you will have the opportunity to interact with peers from different countries and institutions; you will receive feedback from the lecturer, and have the chance to choose together with other course members, one additional topic on which Dr. Cirillo will elaborate further. In addition, close collaboration with industry partners will give you the chance to be acquainted with different voices from the field, and discuss your views with other experts.

Key Benefits

For individuals:

  • Learn the latest, high-level knowledge on credit risk management and risk modelling.
  • Update one’s knowledge on the new regulatory frameworks.
  • Combine theory and practice to help you to stay on top of your profession.
  • Enhance your employability and career opportunities.
  • Lively interaction with international peers and networking opportunities.

For organizations:

  • Increase your organizational knowledge to include updated and cutting-edge credit risk management concepts.
  • Enhance your capability to implement the evolving Basel framework.
  • Improve your basis for sound decision-making in loan granting and risk assessment.
  • Add to your employees’ levels of competence and expand your talent pool.

Syllabus

Week 1 (Dec 1): The Regulatory Framework

  • A proper definition of credit risk
  • Main quantities and definitions: PD, LDG, EAD, M, etc.
  • Basel 1, 2, 3
  • Basel 3.5
  • Anticipating Basel 4
  • IFRS9

 
Week 2 (Dec 8): Structural Models of Default - Theory and Practice

  • Merton Model
  • Moody’s KMV
  • CreditMetrics
  • Model Risk

 
Week 3 (Dec 15): Threshold Models - Theory and Practice

  • One-period Portfolio Models
  • Thresholds and Copulas
  • Gaussian Models
  • Alternative Models
  • Model Risk

------------------------ 2-week break ------------------------
 
Week 4 (Jan 5): Large Portfolios / Small Portfolios

  • Exchangeable Models
  • Asymptotics
  • The Basel IRB Formula
  • Small Sample Corrections

 
Week 5 (Jan 12): Statistical Inference in Portfolio Credit Risk Models

  • Estimation
  • GLMM modeling
  • Monte Carlo

 
Week 6 (Jan 19): Dependence and…

  • Correlation and other measures of dependence
  • Topic chosen by learners.

During the course there will be interviews with practitioners that will enrich the discussion and the topics learned.

Taught by

Pasquale Cirillo

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