Credit Analysis

General Remarks

Relevant information and downloads will be made available via Moodle.

Characterizing the course

  • Make you familiar with state-of-the art credit analysis used by banks, rating agencies, fund management, supervisory authorities
  • Quantitative yet practical
  • Computer-aided exercises
  • Prerequisites: Basic financial theory, statistics
  • Career relevance: banking, corporate finance, rating agencies, fund management, supervisory authorities, consulting, accountancy.

Course Contents

  • Single-obligor credit analysis
  • Credit portfolio risk
  • Bank regulation
  • Credit derivatives, securitization and the recent financial crisis

For more information about the course content, please see the module description.

Literature

The following textbook has the biggest overlap with the course:

Löffler/Posch: Credit Risk Modeling using Excel and VBA, Wiley.

Other useful textbooks 

  • Bessis: Risk management in banking
  • Crouhy/Galai/Mark: Risk Management, McGraw-Hill.
  • Duffie/Singleton: Credit Risk, Princeton University Press
  • Saunders/Cornett: Financial Institutions Management, McGraw-Hill.
  • Oehler/Unser: Finanzwirtschaftliches Risikomanagement, Springer.

Relevant Paper:

  • Moody's Annual Default Study: Corporate Default and Recovery Rates, 1920-2014 (included in your lecture notes)
  • S&P Corporate Ratings Criteria 2008 (included in your lecture notes)
  • Forecasting bankruptcy more accurately: A simple hazard model (Tyler Shumway (2001))
  • The procyclical role of rating agencies: Evidence from the east asian crisis (Ferri, Liu and Stiglitz (1999))

 

 

News

You will find all relevant information on our Moodle site.

First lecture on Tuesday, 18.4., from 14.15-15.45 in H1

Instructors

Prof. Dr. Gunter Löffler

 

 

Dates and Room

Tuesday 14.15-15.45, H1

Wednesday 12.15-13.45, H14

Exam

 July 27, 2017, 4 - 6 pm, H22

The exam is of closed form that means you have to take the first exam to be allowed to take the retake of the exam.

Module description

This lecture is open for

  • Wiwi (MSc, Dipl)
  • WiMa/WiPhy (MSc, Dipl)
  • Finance (MSc)

and others according to study plan.

Module description