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Introduction to Credit Risk and Applications in Python - Seminar

Seminar

Taught by Prof. Dr. Eva Lütkebohmert-Holtz

Content

This course focuses on modeling and measuring credit risk, with an emphasis on practical implementation using Python. Topics include basic concepts such as probability of default and default correlations, risk measures, in particular Value-at-Risk and expected shortfall, as well as firm value models as the Merton model for individual entities’ default risk and factor models for portfolio credit risk.

By the end of the course, students will be familiar with standard methods for modelling credit risk, in particular firm value models such as the Merton model but also factor models for portfolio credit risk management will be covered.

 

Dates
Monday, June 23rd, 20258-10 am1134 KG I
Monday, June 23rd, 202512-2 pm1132 KG I
Tuesday, June 24th, 202512-2 pm1132 KG I
   
Monday, June 30th, 20258-10 am1134 KG I
Monday, June 30th, 202512-2 pm1132 KG I
Tuesday, July 1st, 202512-2 pm1132 KG I
   
Monday, July 7th, 20258-10 am1134 KG I
Monday, July 7th, 202512-2 pm1132 KG I
Tuesday July 8th, 202512-2 pm1132 KG I
   
Wednesday, Juli 23rd, 2025
Submission seminar paper
 

                                           

First Meeting

Monday, June 23rd, 2025 at 08:00-10:00 am and 12:00-02:00 Uhr pm.

Participation in the first introductory meeting is mandatory. Non-participation will be seen as a withdrawal from the seminar and your place will be given to another student on the waiting list.  


 

LanguageEnglish
 
 
Requirements
ECTS

4
 

 

Application &
Registration

  • 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
     
Examination       

4 ECTS Presentation und Seminar Paper

ILIAS

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

 

Credit

  • 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"
     
Literature

  • 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.

 

 

 
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