RMSC6002

Credit Risk Management (26/27 Fall)

Course Description

The Credit Crisis of 2007 devastated the global financial industry and demonstrated that, despite unprecedented financial sophistication, proper credit risk management is vital for the good health of any financial institution. In this course, we will cover the cat-and-mouse history of regulation of credit, taking us to the present day. Along the way, we cover various attempts at modeling and quantifying credit risk, which will lead us through topics like VaR, copulas, credit derivatives, different credit risk methodologies (e.g. Credit Risk Plus, CreditMetrics) and much else besides. We will also discuss various case histories of financial institutions failing due to poor credit risk management.

Tutorial Information

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  Appointments are also welcomed.

Tutorial Notes