Theory of Credit Risk Models
Theory of Credit Risk Models
For the Actuarial Students
This course is designed for actuaries writing exam: SP9/CM2/CP1.
It is theoretical in nature and designed to introduce a student to the material.
It is not a substitute for studying, rather a supplement.
Introduction
Risk is defined as the consequences resulting from uncertainty.
Credit Risk is defined as when a third party doesn't meet their obligation.
Content
Part 1 is an introduction to Risk and looks at the mathematical properties of risk measures.
Part 2 is about being aware of Credit Risk
Part 3 is about identifying Credit Risk and its sources of uncertainty.
Part 4 is about the models used to assess Credit Risk.
Part 5 is about the Merton Model with an introduction to Option Pricing.
Part 6 is about Migration and Portfolio Models
Part 7 is about managing Credit Risk and goes beyond just using collateral.
Part 8 is an Appendix for the Jarrow-Turnbull Model (Stochastic & Markov Processes)
By MJ the Fellow Actuary
Url: View Details
What you will learn
- How to identify, measure, manage and monitor Credit Risk
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Rating: 4
Level: Intermediate Level
Duration: 4 hours
Instructor: Michael Jordan
Courses By: 0-9 A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
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