Advanced Credit Risk Modeling

A rigorous quantitative course covering the full spectrum of credit risk measurement, from foundational Expected Loss components through portfolio correlation models, structural and actuarial frameworks, to credit derivatives pricing and CDO structuring. Every theoretical module is paired with hands-on labs in Python and R using real market, regulatory, and alternative data sources. Students will implement Merton's structural model, calibrate CreditRisk+ via Panjer recursion, price Credit Default Swaps with QuantLib, and build a Monte Carlo CDO waterfall simulator from scratch.

  • Level: advanced
  • Duration: 4 months
  • 13 sections
  • Price: $49.99

Topics: credit risk, probability of default, loss given default, exposure at default, expected loss, economic capital, Basel III, Basel IV, unexpected loss, mixture models, copula functions, Merton model, structural credit risk, CreditRisk+, distance to default, Value at Risk, expected shortfall, Euler allocation, hazard rate, survival function, Markov migration matrix, credit default swap, CDO, structured credit, factor models, Panjer recursion, Python, R, QuantLib

What's inside

  1. Advanced Credit Risk Modeling
  2. Chapter 1: Foundations of Credit Loss
  3. Chapter 2: Unexpected Loss & Regulatory Capital Frameworks
  4. Chapter 3: Portfolio Credit Risk — Mixture Models
  5. Chapter 4: Industry Standard Portfolio Models
  6. Chapter 5: Factor Models & Copula Functions
  7. Chapter 6: Portfolio Loss Generation & Conditional Independence
  8. Chapter 7: Numerical Techniques for Loss Distributions
  9. Chapter 8: Structural Approach — Merton's Model & Black-Scholes PDE
  10. Chapter 9: Actuarial Approach — The CreditRisk+ Model
  11. Chapter 10: Risk Measures, Capital Allocation & Term Structure of Default
  12. Chapter 11: Credit Migrations & Market Spreads
  13. Chapter 12: Credit Derivatives & Structured Credit

Read a free sample chapter