An Introduction to Credit Risk Management

Description

In this course, you will learn:

• 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