Portale di Ateneo - En.Unibs.it

I. Fundamentals on credit risk modelling
1. Basics
2. Structural models
3. Reduced-form models
II. Predicting defaults
1. Statistical approaches
1.1. Discriminant analysis and Altman model
1.2. Qualitative models
2. Credit risk determinants
2.1. Probability of default
2.2. Recovery rate
2.3. Exposure at default
III. Rating and credit scoring processes
1. External vs. internal-based approach
2. Transition matrices and migration risk
3. Credit scoring
3.1. Traditional approaches
3.2. Advanced methodologies
IV. Credit risk in portfolio context
1. Risk-neutral vs. actual default probabilities
2. Merton model and KMV model
3. Credit risk measurement
3.1. VaR models
3.2. Simulations
3.3. Default correlation