European Master and Certification Program
in Risk Engineering and Management

FRME1-3:
Measurement and Management of Credit Risk

Course code: 128045
Language of instruction: English
Lecturers: Prof. Dr. Dr. h.c. Dirk Linowski (Steinbeis University Berlin), Dipl.-Kfm. Jacob Kleinow (TU Bergakademie Freiberg The University of Resources)
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, asset management and enterprise environment.


Objectives

Participants are expected to:

- have basic knowledge about the specificities of the banking, asset management and enterprise environments,

- understand the concepts and theories of credit risk (Portfolio, Derivatives, Ranking) and

- be able to apply the mechanics and techniques of the assessment, quantification and management of credit risk.

Target Attendees / Participants

Students of Steinbeis Master of Business Administration

Course Content by Units

Introduction to Credit Assessment Methods 

Credit Ranking

Credit Scoring and Modelling Default

Credit Risk Portfolio Model

Market Default Models

Comparison of the Models

Credit Derivatives

Teaching Methods

The course includes:

  • introductory note explaining the aim and structure of the course, as well as the used methodology, 
  • ex cathedra lecturing illustrated by number of examples,
  • review of the main topics at the end of each lecturing unit and
  • 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: FRME1-3:, generated on November 19, 2018)