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Credit Risk Modeling

Lecture and Tutorial,  Master; WS;  5 CP

Time and Room

For lecture time and venue as well as exam dates see KU.Campus.         

Learning outcomes 

After the course, students are in a position to analyze credit risks for a single obligor and for a portfolio of multiple obligors. In addition, on the basis of several Excel-spreadsheets and VBA-macros developed and explained in the course, students will be able to assess the risks of complex structured credit products, to perform sensitivity analyses and to evaluate the properties of some well known risk measures, applied in practice.

Course Content

  • Option pricing and structural models of default

  • Modeling of default correlations with the asset-value model

  • Calculation of portfolio credit risk with the asset-value approach

  • Risk analysis of structured products: CDOs and ABS-CDOs


Lecture documents

Lecture notes:


Excel sheets:

Organisational recommendations

The lecture should be attended in the first or second semester


Literature will be announced in clase.