| Course objectives (competences): After completing this course, students should: - understand the main elements of credit risk as well as the main risk drivers,
- understand the international regulation of credit risk and capital adequacy,
- be familiar with the most important statistical and econometric models of credit risk,
- obtain insight into modelling the standalone credit risk,
- acquire knowledge about modelling the credit risk correlation and the portfolio credit risk
- bi familiar with measuring the market risk (Value-at-Risk).
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Course content:- Credit risk building blocks: Expected loss, Unexpected loss, Probability of default, Exposure at default, Loss given default
- International capital regulation: Basel I, Basel II, Basel III
- Value at Risk: Variance-covariance method, Historical VaR, Simulation methodology, VaR for credit risk
- Credit risk drivers: Exposure risk, Default and migration risks, Recovery risk, External ratings, Internal rating systems
- Statistical and econometric models of credit risk
- The option approach to default and migrations
- Standalone credit risk distributions
- Modelling credit risk correlations
- Portfolio loss distributions
- Loss distributions and transition matrices.
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