About this online course

Overview

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Course video

This course 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.

You may think you know a lot about the management of risk but could there be more to it than meets the eye?

This unique online course takes a deep dive into the subject of credit risk. It helps ambitious risk professionals, consultants and managers stay abreast of the latest developments in this field.

You will gain in-depth knowledge and hands-on experience of:

  • IFRS9 and Basel II-III
  • latest approaches to PD modeling – which includes GLM
  • LGD modeling using survival models
  • possible evolutions of the regulatory framework (such as TRIM, CRR, CRD IV, etc.)
  • recent technological advances in this field
  • impact of Covid-19 on credit risk modelling

The course comprises four modules that offer an effective blend of theory and practice to make it challenging and valuable so you can use and apply this knowledge in practice from day one. With the knowledge and experience gained, you will be able to perform your current work tasks more effectively and enhance your future professional development in the field.

Join us for an underwater journey to the base of the iceberg. See the full picture and acquire cutting-edge knowledge and skills in a flexible and inspiring way!

Take this course at your own pace!

This online course offers access to course material 24/7 so you can learn at the time and place that suits you.
 

The course can be completed in 10 weeks (with an estimated effort of 4-6 hours per week), but you may take additional weeks to finish the course at your own pace until the course closes.
 

Course Highlights

This course includes video lectures, accompanying learning modules created by Deloitte, readings, exercises and assignments. We also offer you the opportunity to interact with other credit risk professionals worldwide.

Learning Objectives

  • Gain knowledge about the latest regulatory developments, such as IFRS9, Basel II, Basel III.
  • 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.
  • Keep up with the most recent market developments and frontier techniques applied in credit risk management.
  • Explore open questions like small sample corrections and dependence modeling.

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Sample video lectures


Watch sample video lectures
 

"In my view the course is a great experience for everyone dealing with credit risk management and wants to advance their knowledge in that field. In the course meetings you get the opportunity to discuss with experts several topics in the credit risk management environment going beyond the lectures' material and you get to know how things work in practice." - Model developer (Dutch Tier-1 bank)

"For me, this was a great experience and I believe I learned a lot, I truly enjoyed the course. The lectures were so nice and also additional materials were useful." - Model validator (Dutch Tier-2 bank)

Details

The estimated effort required to finish this course is 40 to 60 hours, but you may take additional time to complete all the assignments at your own pace. After the course closes, course materials will remain available for 6 months, but you will be no longer able to take the final assessment to receive a certificate. No deadline extensions will be granted.

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

Is this course for you?

This course is for professionals eager to master the most important models of credit risk management and to keep up with the ever-changing regulatory framework.

The course is most relevant to:

  • all risk professionals – model developers, model validators, managers, consultants and developers.
  • this course caters specifically for the financial services industry, shadow banking entities (leasing, factoring, etc.) and telecoms, however the course could also be of value for most other industries.

Prerequisites

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.

Instructors

Dr. Pasquale Cirillo delivers the academic part of the course. He is a risk expert and an experienced statistical consultant for major companies and institutions.

Dr. Fang Fang moderates this course. She is a quantitative modelling expert from the financial industry and a part-time Assistant Professor of Applied Mathematics at TU Delft.

Credit risk practitioners from Deloitte share knowledge on credit risk in practice to ensure the course is relevant for the industry. 

 

Download Syllabus

Qualifications

By completing this course you will earn a professional education certificate from TU Delft. With this certificate you are eligible to receive 4.0 Continuing Education Units (CEUs).


View sample certificate

Admission

Prerequisites

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.

Contact

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

Enroll now Enroll with STAP

  • Starts: Mar 06, 2024
  • Fee: €1750
  • Enrollment open until: Mar 06, 2024
  • Length: Self-Paced
  • Effort: 4 - 6 hours per week / 10 weeks

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