Understand the iceberg: what lurks beneath the surface?
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, Basel II-III and the future Basel IV
- 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 100% online course offers access to course material 24/7 so you can learn at the time and place that suits you.
You can enroll now (or any time before September 30, 2021) and start learning right away. 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 November 30, 2021. After this date 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.
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.
- Gain knowledge about the latest regulatory developments, such as IFRS9, Basel II, 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
"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)
The estimated effort required to finish this course is 40 to 60 hours, but you may take additional time (no longer than November 30, 2021) to complete all the assignments at your own pace. After September 30 course materials will remain available for 6 months but you will be no longer able to take the final assessment to receive a certificate.
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.
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 and an 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.
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).
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.
If you have any questions about this course or the TU Delft online learning environment, please visit our Help & Support page.