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This course focuses on credit risk measurement providing theoretical and practical insights for financial institutions. The program is designed to cover the latest methodological approaches to be used in predicting and measuring the credit risk according to the common protocols used in the financial industry.
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
1) Duffie, D., and K. Singleton (2003): "Credit Risk", Princeton, Capitoli 1, 2, 3 (per quest'ultimo limitatamente ai paragrafi 1-5).
2) Saunders, A., and L. Allen (2002): "Credit Risk Measurement", Wiley, Capitoli 1, 2, 4, 6, 11.