After successful completion of the course, students are able to...

reflect and explain the theory as well as to apply the learned skills in practice (this is a standard text, which will be updated during September 2019).

• Actuarial credit risk models: Bernoulli and Poisson mixture models, CreditRisk+ and extensions, numerically stable algorithm for its implementation
• Intensity-based credit risk models, term-structure models for credit spreads
• Structural (asset-based) credit risk models (Merton, KMV)
• Securitisation of loans and mortgages, credit derivatives, regulatory capital

The basic contents and concepts are presented by the head of the LVA and illustrated and discussed with the help of examples.

Exercises and oral exam