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CREDIT RISK MANAGEMENT & MODELLING

CREDIT RISK MANAGEMENT & MODELLING
COURSE CODE: MTRM6060

This course is an introduction to credit risk management and to the models for analyzing, predicting and mitigating credit risks. Students will learn the basis for widely used modelling methods for credit risk assessment and implement those methods through programming assignments using R (or other software).

The aims of the course are:

  • To introduce students to quantitative models for measuring and managing credit risks
  • To provide students with a critical understanding of the credit risk methodology used in the financial industry
  • To give students an appreciation of the regulatory framework in which the models operate
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