Introduction to Credit Risk and Applications in Python - Block Course

This course provides an introduction to credit risk management with Python programming. Students will learn basic data processing techniques in Python, and how to analyze credit risk through factor models, including parameter calibrations and simulations. The course covers practical applications such as risk quantification, simulations, and data analysis in the context of credit risk management.

By the end of the course, students will be able to use Python for basic credit risk analysis, including data processing, risk quantification, and the application of factor models in credit risk management. 

Wednesday, April 23rd, 2025 at 4-6 pm in lecture hall 1098 KG I

• Principles of Finance
• Futures and Options
• Python Course
   

4
 

Since the number of participants is limited, applications can be submitted here until April, 13th 2025.

• Please send us the following application documents and information:

• Course of Study
• Current Semester
• Matriculation Number
• Current Transcript
   

4 ECTS written report (code and report)

Course materials will be available on ILIAS. We will email you the ILIAS password after your registration.

The seminar can be credited as follows:

• In M.Sc. Economics in the profile "Finance";
• In M.Sc. VWL as per PO 2014 in "Accounting, Finance, and Taxation" and "Empirical Economics"
   

• Bielecki, T., & Rutkowski, M. (2002). Credit Risk: Modeling, Valuation and Hedging. Springer.

• Bluhm, C., Overbeck, L., & Wagner, C. (2010). Introduction to Credit Risk Modeling (2nd ed.). Chaman & Hall/CRC.

• Frey, R., McNeil, A. J., & Embrechts, P. (2015) Quantitative Risk Management - Concepts, Techniques and Tools (revised edition)

• Gordy (1998), A Comparative Anatomy of Credit Risk Models

• Gundlach, M., & Lehrbass, F. (2003). CreditRisk+ in the Banking Industry. Springer.

• Lando, D. (2004) Credit Risk Modeling. Princeton University Press.

• Lütkebohmert, E. (2009) Concentration Risk in Credit Portfolios. Springer.

• Perraudin, W. (2004) Structured Credit Products: Pricing, Rating, Risk Management and Basel II. Risk Books.

• Pykhtin, M. (2004). Multi-factor Adjustment. Risk Magazine.