Important announcement

Dear visitor,

Please note that this OpenCourseWare platform will be replaced at the end of 2026 by a new platform (under the same url ocw.tudelft.nl).

Courses and their contents that are currently available the platform will partly be migrated. URL’s for this content will change and content might be unavailable for some time. In addition, some courses will not be available anymore.

If you are linking to specific courses on this platform (for instance for your students), please take timely measures to avoid problems with access. Possible actions are:

  • Download the materials to your local platform (laptop, server)
  • For educators only (including TU Delft lecturers): Contact us at ocw@tudelft.nl and inform us what course you are using in what context (institute, program, period of use, number of students). We will research (in collaboration with the authors of the course) and decide if we will migrate the course, and if yes, can supply you with a new url.

Thank you.

Home Courses Introduction to Credit Risk Management Course materials Lectures 7.3 Summary

7.3 Summary

Course week(s) Week 7
Course subject(s) CDS and Stress Testing

Dear Risk Managers, the Sofa Session of this week contains our second interview with a practitioner.

Our guest is Maikel van Herel, Head Quantitative Risk Analytics at Rabobank.

Together with him, we will discuss stress testing, one of the topics of this week.
Mr. van Herel will tell us how Rabobank produces scenarios, and what are the quantities they take into account for their simulations and estimates.
You will see that you are fully able to understand the terminology used in the interview.

As usual, we will ask Mr. van Herel what it takes to be a good risk manager.
I think you are interested in the answer. Aren’t you?

Interview with Maikel van Herel, Head Quantitative Risk Analytics, Rabobank

Video
Subtitles
Other

Sorry but there don't seem to be any downloads..

Subtitles (captions) in other languages than provided can be viewed at YouTube. Select your language in the CC-button of YouTube.

For what concerns stress testing, I think you may find the following two readings rather interesting.

The Canadian point of view.

The British point of view.

It may also be worthy to have a look at the website of the Bank of Italy about stress tests and banking supervision. I always suggest to have a look at the original documents and data.

At the beginning it may be difficult, but it is the best way to learn.

For what concerns Credit Default Swaps, I suggest you to see the Investopedia video here. The way in which CDS are presented is not completely neutral, but it is surely helpful to understand how a CDS works.

And about neutrality…

Since credit default swaps have been blamed as one of the causes of the 2007-2008 crisis, given the possibility of transferring risk to third parties (the buyer transfers the credit risk of the reference entity to the seller), thus fostering risk-taking behaviors on the markets, I really suggest you to read the following articles.

CDS – HowStuffWorks.

CDS and the Credit Crisis.

The Shrinking of CDS Market.

Creative Commons License
Introduction to Credit Risk Management by TU Delft OpenCourseWare is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Based on a work at https://ocw.tudelft.nl/courses/introduction-credit-risk-management/.
Back to top
[sg_popup id=6]