Advanced Credit Risk Management offered by TU Delft
- Public University
397 acre campus- Estd. 1842
Advanced Credit Risk Management at TU Delft Overview
Duration | 10 weeks |
Total fee | ₹1.44 Lakh |
Mode of learning | Online |
Course Level | UG Certificate |
Advanced Credit Risk Management at TU Delft Highlights
- Earn a certificate of completion from Delft University of Technology
Advanced Credit Risk Management at TU Delft Course details
- For all risk professionals
- For the financial services industry, shadow banking entities and telecoms
- Gain knowledge about the latest regulatory developments, such as IFRS9, Basel II, Basel III, and the future Basel IV
- Develop a more solid understanding of the mathematics behind credit risk modeling, which will help you to better understand the foundation of the formulas and models you regularly use
- Work with model risk and error quantification.
- Investigate the implications of dropping assumptions like Gaussianity
- Explore open questions like small sample corrections and dependence modeling
- This unique online course takes a deep dive into the subject of credit risk
- It helps ambitious risk professionals, consultants and managers stay abreast of the latest developments in this field
- The course comprises four modules that offer an effective blend of theory and practice to make it challenging and valuable so you can use and apply this knowledge in practice from day one
- With the knowledge and experience gained, you will be able to perform your current work tasks more effectively and enhance your future professional development in the field
Advanced Credit Risk Management at TU Delft Curriculum
Module 1 ? Credit Risk Environment
Definition of credit risk
Recap Basel II/III and stress testing
Current developments in IFRS 9
Technological developments
Module 2 ? Probability of Default (PD)
Structural models: Merton's model
Structural models: Moody's KMV and CreditMetrics
Copulas and threshold models
Mixture models
Generalized linear models and logistic regression
Rating methodologies
Low default portfolios
The IRB standardised formulas
PIT PD and forward looking models
Implementation challenges
Module 3 ? Loss Given Default (LGD)
Key concepts in default handling: clients, default, collateral and exposure
Non performing loans management
Performing versus in-default LGD
Statistical approaches
A full case study (including GLMs)
A crash course on survival analysis for LGD (and PD)
LGD and survival analysis
Implementation challenges
Module 4 ? Credit Risk Frameworks
Wrong-way risk: when PD and LGD move together
Data in CRM
Overview of credit risk model use
Capital and loan loss provision
Pricing of loans
Machine learning in credit risk management
Climate risk assessment
Supervisory review of internal models
Impact of covid-19 on ECL
Advanced Credit Risk Management at TU Delft Faculty details
Advanced Credit Risk Management at TU Delft Entry Requirements
- Prerequisites: Knowledge of basic risk management. Statistics and probability at university level
- Yes
- n your Admission Letter might be stated that you are offered a conditional admission. This means that some documents are required before you can officially start with EWEM. It is your responsibility to proof that you fulfil all the mentioned requirements.
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Advanced Credit Risk Management at TU Delft Contact Information
Mekelweg 2, 2628 CD Delft, Netherlands
Delft ( Other - Netherlands)