This is the Syllabus of the course.
Depending on your requests and comments, some amendments can be done during the course.
Week 1
Credit Risk and the Regulatory Framework
- Definition of Credit Risk
- Credit Risk in Basel II and III
- The main quantities involved: PD, LGD, EAD, etc.
- A quick view of IFRS9
- Intro to LGD estimation
Week 2
Estimating the PD 1
- Structural Models and Mixture Models
- Merton's Model
- Moody's KMV®
- CreditMetrics®
- Pro et Contra
- Copulas in a Nutshell
Week 3
Estimating the PD 2
- Threshold Models
- Mixture Models
- CreditRisk+
- Some Alternatives
- Pro et Contra
- Mini-course on Survival Analysis P1
First Partial Exam
Week 4
A relevant Miscellanea
- Low Default Portfolios
- The Basel IRB formula(s)
- Mini-course on Survival Analysis P2
Week 5
Dependence
- Correlation and other measures of dependence
- Mini-course on Survival Analysis P3
- Linear Models and PD estimation
- Model Risk?
Week 6
Statistical Inference and Data analysis
- Estimation and simulation
- Analysis and problems with actual data
- Survival Analysis and GLM in Practice
- Extra topic of Week 6? --> IFRS9
Second Partial Exam
Final Project
--------- Course End: 15.01.2017 ---------