Introduction to Credit Risk and Applications in Python - Seminar

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.

Freitag, 23. Mai 2025 um 13-14 Uhr im Hörsaal 1019 KG I.

• Principles of Finance
• Futures and Options
• Python Course
• Block Course - Introduction to Credit Risk and Applications in Python - Block Course (can be taken in parallel)
   

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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 Presentation und Seminar Paper

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