Theory of Credit Risk Models

Descripción

For the Actuarial Students • This course is designed for actuaries writing exam: SP9/CM2/CP1. • It is theoretical in nature and designed to introduce a student to the material. • It is not a substitute for studying, rather a supplement. Introduction • Risk is defined as the consequences resulting from uncertainty. • Credit Risk is defined as when a third party doesn't meet their obligation. Content • Part 1 is an introduction to Risk and looks at the mathematical properties of risk measures. • Part 2 is about being aware of Credit Risk • Part 3 is about identifying Credit Risk and its sources of uncertainty. • Part 4 is about the models used to assess Credit Risk. • Part 5 is about the Merton Model with an introduction to Option Pricing. • Part 6 is about Migration and Portfolio Models • Part 7 is about managing Credit Risk and goes beyond just using collateral. • Part 8 is an Appendix for the Jarrow-Turnbull Model (Stochastic & Markov Processes)

Lo que aprenderás

• How to identify, measure, manage and monitor Credit Risk

Requisitos

• Yes. Must be familiar with mathematical statistics and finance.