About this online course

Overview

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Course video

This course covers cutting-edge topics of credit risk management in a rigorous yet inspiring way.

On top of your game
The playing field of credit risk professionals, consultants and managers is continually changing. Developments in financial markets and updates in regulatory frameworks make it a challenging field that makes it vital for you to stay on top of your game. But how?

The Advanced Credit Risk Management course from TU Delft, a course designed specifically for risk professionals, provides a unique opportunity to take the next step in credit risk management and helps you in contributing to the stability and economic sustainability of lending institutions.

Interact with peers
This course is for anyone who wants or needs a deeper understanding of credit risk topics in order to advance current work tasks or support future professional development. The course balances between theory and practice to make it both challenging and valuable for your work. But the course is not just about increased knowledge: you will have the opportunity to interact with peers from different countries and institutions; you will receive feedback from the lecturer, and have the chance to choose together with other course members, one additional topic on which Dr. Cirillo will elaborate further. In addition, close collaboration with industry partners will give you the chance to be acquainted with different voices from the field, and discuss your views with other experts.

What you'll learn

  • Gain knowledge about the latest regulatory developments, such as IFRS9 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.
  • Explore open questions like small sample corrections and dependence modeling.
  • Investigate the implications of dropping assumptions like Gaussianity.

Key Benefits

For individuals:

  • Learn the latest, high-level knowledge on credit risk management and risk modelling.
  • Update one's knowledge on the new regulatory frameworks.
  • Combine theory and practice to help you to stay on top of your profession.
  • Enhance your employability and career opportunities.
  • Lively interaction with international peers and networking opportunities.

For organizations:

  • Increase your organizational knowledge to include updated and cutting-edge credit risk management concepts.
  • Enhance your capability to implement the evolving Basel framework.
  • Improve your basis for sound decision-making in loan granting and risk assessment.
  • Add to your employees' levels of competence and expand your talent pool.


Watch sample video lectures

Details

Course Syllabus

Week 1: The Regulatory Framework

  • A proper definition of credit risk
  • Main quantities and definitions: PD, LDG, EAD, M, etc.
  • Basel 1, 2, 3
  • Basel 3.5
  • Anticipating Basel 4
  • IFRS9

Week 2: Structural Models of Default - Theory and Practice

  • Merton Model
  • Moody's KMV
  • CreditMetrics
  • Model Risk

Week 3: Threshold Models - Theory and Practice

  • One-period Portfolio Models
  • Thresholds and Copulas
  • Gaussian Models
  • Alternative Models
  • Model Risk

Week 4: Large Portfolios / Small Portfolios

  • Exchangeable Models
  • Asymptotics
  • The Basel IRB Formula
  • Small Sample Corrections

Week 5: Statistical Inference in Portfolio Credit Risk Models

  • Estimation
  • GLMM modeling
  • Monte Carlo

Week 6: Dependence and…

  • Correlation and other measures of dependence
  • Topic chosen by learners.

During the course there will be interviews with practitioners that will enrich the discussion and the topics learned.

Assessment, Assignments & Exam

Assessment in this course takes places through online weekly exercises, two online exams, and one final offline assignment.

In this course you will have additional 6 weeksafter the course end date to complete the assignments and the exams.

Qualifications

Certificates

If you successfully complete this course you will earn a professional education certificate and you are eligible to receive 3.0 Continuing Education Units (CEUs).

Admission

This course is primarily geared towards working professionals. Knowledge of risk management, statistics and probability at the advanced bachelor/master level is required. Professional business experience is a plus.

Admission process
In order to complete your admission process you will be asked to upload the following document:

  • a copy of your passport or ID card (no driver's license)

Contact

If you have any questions about this course or the TU Delft online learning environment, please visit our Help & Support page.

Enrollment period is over

  • Start date
    Future dates to be announced
  • Cost
    € 500
  • Course length
    6 weeks
  • Estimated effort
    4 - 6 hours per week
  • Course code
    AdvCRM1x

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