Credit Risk Modeling

2026/2027

Учебный год

ENG

Обучение ведется на английском языке

3

Кредиты

Кто читает:

Департамент финансов

Статус:

Курс по выбору

Когда читается:

2-й курс, 1 модуль

Преподаватель

Волков Владимир Владимирович

Course Syllabus

Abstract

The basic approaches of credit risk management are introduced. Starting from the critical concepts of expected losses and probability of default a link to different methods of credit ratings is discussed. A particular attention is paid to understanding the underlying factors of correlation between defaults of companies manifested in the global correlation model. Different methods of identifying these factors are discussed. Furthermore, asset value models are introduced for hedging default risk. CreditRisk+ helps to quantify the potential risk of defaults and resulting losses in terms of exposure in a given portfolio by incorporating a term structure of default rates. Due to the weaknesses of the VaR concept a different axiomatic approach to capital allocation is discussed. Finally, credit derivatives are discussed as instruments that help banks, financial institutions, and debt security investors to manage their credit-sensitive investments.