Acquire cutting-edge knowledge and skills in a flexible and inspiring way!
This unique online course from TU Delft in collaboration with Deloitte is for ambitious risk professionals, consultants and managers eager to master the most important models of credit risk management, and to understand and discuss the always-changing regulatory framework. Deloitte also organizes (optional) local Live Chapter Meetings to meet fellow participants and the instructors, learn current topics and discuss your questions.
The 10-week online course comprises four modules that offer an effective blend of theory and practice to make it challenging and valuable for your work. With the knowledge and experience gained, you will be able to advance your current work tasks and support your future professional development in the field.
- Discussion of current and future regulatory frameworks concerning credit risk, from Basel II and III to IFRS 9
- Review of the most relevant models for PD and LGD: from Moody's KMV to CreditMetrics, from logistic regression to survival analysis, with an emphasis on vital concepts like PIT and TTC estimates
- Gain practical experience with accompanying learning modules created by Deloitte
- Access course material 24/7, learn in the time that suits you
- Interact and collaborate with other credit risk professionals from all over the world
- Enjoy diverse learning materials including video lectures, readings, exercises and assignments
- Attend (optional) local Live Chapter Meetings for live discussions and question opportunities with Deloitte experts and fellow participants.
- Gain knowledge about the latest regulatory developments, such as IFRS9, Basel III and the future "Basel IV".
- Develop a more solid understanding of the mathematics behind credit risk modeling, which will help you to better understand the foundation of the formulas and models you regularly use.
- Analyze the strengths and weaknesses of important credit risk models.
- Work with model risk and error quantification.
- Investigate the implications of dropping assumptions like Gaussianity.
- Explore open questions like small sample corrections and dependence modeling.
Sample video lectures
Watch sample video lectures from this course to learn more about teaching style and topics:
- Moody's KMV Model
- Low Default Portfolios
- The Use of Loss Given Default (LGD) - Deloitte
- Advanced Credit Risk Management: Casual Friday
The course is delivered over a ten-week period, but you may take twenty additional weeks to complete all the assignments at your own pace. The course will provide the following:
- 4 modules covering more than 20 topic areas with an estimated workload of 4-6 hours per week
- Quizzes, exams and final assignment assessments to reinforce key learning concepts
- A business view on credit risk and the opportunity to put theory into practice in lectures provided by Deloitte
- Discussion forums to discuss thought provoking questions about credit risk
- Downloadable course material
- Course material remains accessible after ending the course
Who should participate?
Anyone who is ambitious enough to seek a higher level of competence when dealing with credit risk. Participants may include:
- Credit risk professionals and managers who would like to understand what lies behind the formulas and models they use on a daily basis.
- Risk professionals who would like to increase their understanding of credit risk.
Knowledge of basic risk management. Statistics and probability at university level (upper bachelor level). For those needing revisions, links to external resources will be provided. Professional business experience is a plus. During the course, codes and examples will be developed using the R language (freely downloadable), but participants are free to use their preferred language.
Dr. Pasquale Cirillo delivers the academic part of the course. He is a risk expert from the Department of Applied Mathematics at the Delft University of Technology (TU Delft), coordinator of the financial engineering specialization and experienced statistical consultant for major companies and institutions. Credit risk practitioners from Deloitte share knowledge on credit risk in practice to ensure the course is relevant for the industry. Five local Deloitte member firms (in France, Germany, Belgium, Austria and The Netherlands) share practical knowledge and their credit risk specialism.
(Optional) Live Chapter Meetings
The Live Chapter Meetings take place to complement the online course and attendance is optional. The Live Chapter Meetings do not impact the grading. There are two Live Chapter Meetings, one kick-off meeting at the start of the course and one Live Chapter Meeting in spring/summer 2018.
You can join these Live Chapter Meetings in one of these countries: the Netherlands, France, Belgium, Germany or Austria. In the Live Chapter Meeting you will be able to:
- Discuss your questions with Dr. Cirillo and Deloitte's credit risk experts
- Meet fellow course participants
- Expand your professional network
- Gain insights into current credit risk topics in Europe and the country in which you are attending the Live Chapter Meeting
By completing this course you will earn a professional education certificate from TU Delft. With this certificate you are eligible to receive Continuing Education Units (CEUs).
Knowledge of basic risk management. Statistics and probability at university level (upper bachelor level). For those needing revisions, links to external resources will be provided. Professional business experience is a plus.
To enroll in this course click on the button 'REGISTER ON DELOITTE'S WEBSITE" on the right side of the screen and fill in the Deloitte Academy Registration Form.