European Master and Certification Program
in Risk Engineering and Management

XIII-D-R49: CR
Measurement and Management of Credit Risk

Course code: 175562
Language of instruction: English
Lecturers: Prof. Dr. Dr. h.c. Dirk Linowski (Steinbeis University Berlin)
Assessment: Defined in the module

Short description

After an introduction to credit assessment methods, the course will tackle several aspects of credit and credit risk by presenting the different approaches and their related concepts and tools. The course enables participants to understand and apply the mechanics and techniques of the assessment, quantification and management of credit risk in the banking, insurance, asset management and enterprise environment.

Objectives

Participants are expected to:

-Have basic knowledge about the specificities of the banking, insurance, asset management and enterprise environments.
-Understand the concepts and theories of credit risk (Portfolio, Derivatives, Ranking)
-Be able to apply the mechanics and techniques of the assessment, quantification and management of credit risk

Target Attendees / Participants

University students of Steinbeis European Master Program in Risk Engineering and Management, and similar programs.

Course Content by Units

Introduction to Credit Assessment Methods 

Credit Ranking

Credit Scoring and Modelling Default

Credit Risk Portfolio Model

Market Default Models

The Insurance Approach: CreditRisk+

Comparison of the models

Credit Derivatives

Case: Managing Credit Risk in a Corporate Environment

Bankruptcy

Teaching Methods

The course includes:

  • introductory note explaining aim and structure of the course, and used methodology as well
  • ex cathedra lecturing illustrated by number of examples
  • review of main topics in the end of each lecturing unit
  • case Study

Literature

-David C. M. Dickson (2005). Insurance Risk and Ruin (International Series on Actuarial Science), Cambridge University Press
-Greg N. Gregoriou, Marco Micocci, Giovanni Batista Masala (2010). Pension Fund Risk Management: Financial and Actuarial Modeling (Chapman & Hall/Crc  Finance Series)
-Gunter Loeffler, Peter N. Posch (2007). Credit Risk Modeling using Excel and VBA (The Wiley Finance Series)
-Marco Corazza, Pizzi Claudio (2010). Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer
-Niklas Wagner (2008). Credit Risk: Models, Derivatives, and Management (Chapman & Hall/CRC Financial Mathematics Series)
-Ngai Hang Chan, Hoi-Ying Wong (2006). Simulation Techniques in Financial Risk Management (Statistics in Practice), Wiley-Interscience


For more information about the European Master and Certification Program in Risk Engineering and Management in general, go the Homepage.
For more information about the European Master Program in Risk Engineering and Management in general, go the Master Study page.
To see more courses in the curriculum, go to The curriculum page, or by date and topic go to the Calendar of Courses page.
Contact: via email sti889@risk-technologies.com or phone +49 711 1839 781 or +49 711 1839 647
(Course profile ID: XIII-D-R49:, generated on November 19, 2018)