Since Prof. Löffler is on a research sabbatical this term, there will be no regular lecture and exercise sessions. You can prepare for the exam using the material provided on Moodle (videos, slides, problem sets, quizzes). The Moodle course page also provides other information not provided here.

The goal of the course is to make you familiar with state-of-the-art credit analysis used by banks, rating agencies, fund managers, supervisory authorities, fintechs, and others. The course is quantitative but practical.

1. Introduction 

2. Credit Risk: Some Definitions and Classifications 

3. Predicting Individual Credit Risk 

4. Validation of Rating Systems 

5. Default Correlations and Credit Portfolio Risk 

6. Bank Regulation 

7. Credit Default Swaps 

8. Structured Finance 

9. Current issues