General Remarks

The goal of this course is to make you familiar with state-of-the-art techniques for assessing credit risk.

Downloads are password protected. The username is „student“. The password is announced in the first lecture and is also posted on the white board at the institute. You can use your ANA (Authentifizierter Netzzugangs-Account) provided by kiz and the webVPN to bypass the protection.

Downloads

Lecture	Problem Sets
Slides (distributed in class)	Problem Set 1, Data, Solution     Problem Set 2, Data, Solution     Problem Set 3, Data, Video,       Solution
Exam	Other Links & Downloads
Exam Summer 2012	Case Study, Data

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.

Time Table

Literature

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.