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.

Mittwoch, 23. April 2025 um 16-18 Uhr im HS tba

• Principles of Finance
• Futures and Options
• Python Course
   

4
 

Da die Teilnehmendenzahl begrenzt ist, ist eine Bewerbung bis zum 13. April 2025 hier möglich.

Bitte senden Sie uns folgende Bewerbungsunterlagen bzw. -informationen:

• Studiengang
• Aktuelles Semester
• Matrikelnummer
• Aktuelle Leistungsübersicht
   

4 ECTS written report (code and report)

Materialen für das Seminar werden auf ILIAS zur Verfügung gestellt. Das für den Zugang zu dem Kurs auf ILIAS benötigte Passwort wird Ihnen zeitlich gemailt.
 

Das Seminar kann wie folgt angerechnet werden:

• Im M.Sc. Economics in der Profillinie "Finance";
• Im M.Sc. VWL laut PO 2014 in "Accounting, Finance, and Taxation" und "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.