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During the lectures the basic introduction into the credit risk in banking industry
will be given. At first the basic models for clients will be introduced (Altman model,
logistic regression models etc.) for different types of clients (retail, corporate).
The following lectures will deal with the basic notions concerning risk pricing
(expected loss, unexpected loss). The students will get acquiant themselves with
the standard credit risk models used in banking - Riskmetrics and Creditmetrics
from JP Morgan, Credit Risk+ from Credit Swiss and Credit Portfolio View from
McKinsey. At the same time the information about how the ideas of these models
are reflected in banking legislative will be mentioned.
Last update: T_KPMS (28.05.2002)
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The objective of the lecture is to give an overview of the methods connected with credit risk management: scoring, risk costs, portfolio value, Value At Risk. The students will learn the technique of logistic regression, the measurement of diversification power of scoring functions, the methods of risk costs estimation, i.e. the part of interest rate which cover the expected loss. In the last part of the lecture the VaR characteristic explanation and the methods of its estimation will be given. The lecture will make students acquainted with the current trends in credit risk management.
Last update: T_KPMS (16.05.2008)
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[1] Hosmer, David W. and Stanley Lemeshow, Applied Logistic Regression, 2nd ed., New York; Chichester, Wiley, 2000, ISBN 0-471-35632-8. [2] Creditmetrics, Technical document, J&P Morgan, New York 1977 Last update: T_KPMS (16.05.2008)
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Lecture. Last update: G_M (27.05.2008)
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Basic models for clients will be introduced (Altman model, logistic regression models etc.) for different types of clients (retail, corporate).
Basic notions concerning risk pricing (expected loss, unexpected loss).
Standard credit risk models used in banking - Riskmetrics and Creditmetrics from JP Morgan, Credit Risk+ from Credit Swiss and Credit Portfolio View from McKinsey. Last update: T_KPMS (14.05.2003)
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