Lectures

• 3.3 Coherent Measures of Risk and Back-testing

  Subject(s) The Value-at-Risk
  Week(s) Week 3
  

• 3.4 Summary

  Subject(s) The Value-at-Risk
  Week(s) Week 3
  

• 4.1 Introduction and Overview

  Subject(s) Default Probabilities I
  Week(s) Week 4
  

• 4.2 External Credit Ratings

  Subject(s) Default Probabilities I
  Week(s) Week 4
  

• 4.3 Internal Ratings and Recovery Rates

  Subject(s) Default Probabilities I
  Week(s) Week 4
  

• 4.4 Summary

  Subject(s) Default Probabilities I
  Week(s) Week 4
  

• 5.1 Merton’s Model I

  Subject(s) Default Probabilities II
  Week(s) Week 5
  

• 5.2 Merton’s Model II

  Subject(s) Default Probabilities II
  Week(s) Week 5
  

• 5.3 The KMV Model

  Subject(s) Default Probabilities II
  Week(s) Week 5
  

• 5.4 Summary

  Subject(s) Default Probabilities II
  Week(s) Week 5
  

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/.