This course introduces to some modern credit risk methodologies. It will not only introduce the theoretical concepts of default models that are used in banking practice, but will also use computer-based applications and software (Microsoft Excel) to implement the theoretical concepts into practice. The course will cover different approaches to determine individual probabilities of default. Examples of these approaches comprise credit scoring models, rating transitions (credit migration approach), or the Merton model as an approach to default modeling based on option pricing theory. The course will also cover some concepts of the regulation of credit risk as outlined in the Basel accords, and will discuss portfolio credit risk. Finally, students will become familiar with the products used in today’s credit markets, such as internal and external ratings or credit default swaps (CDS), an insurance contract against default. The course will not only present the theoretical concepts but also deepen the knowledge of the different credit risk management tools by a hands-on implementation in Microsoft Excel. Any pre-knowledge in MS Excel is useful, but not necessarily required for this course.
- Perform simple regression analyses of non-linear models to model default probabilities as a function of observable characteristics
- Evaluate single claim credit risk applying different methodologies such as structural models, credit migration approach, or scoring models
- Estimate the risk of a credit portfolio using default-mode models
- Understand and estimate the price of credit risk
- Understand structured portfolio credit risk and be aware of the implied risks
This course is part of the prestigious part-time Master in Finance program, conducted in English on Fridays and Saturdays on Campus Westend. It offers a valuable opportunity to network and gain expertise without committing to a full degree program. As the number of seats is limited, we recommend to register early. If you’re a GBS alumni, explore our attractive alumni discount options.
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Participants have the choice of completing the course with a qualified certificate or attending as a guest auditor. As an auditor, you are not required to complete assignments, take exams or earn academic credits.
| ECTS | Certificate | |
|---|---|---|
| Guest auditor | - | Certificate of Participation |
| Full participant | 3 CP | Qualified Certificate |
This course can also be upgraded to a Certificate of Advanced Studies (CAS) in Risk Management & Regulation in combination with other courses from our Master in Finance program.
Assist. Prof. Dr. Andreas Barth
Dr. Andreas Barth is Assistant Professor of Digital Transformation in Finance and Accounting at Saarland University Saarbrücken. Before joining Saarland University, he was Assistant Professor at the Chair of Banking and Finance at Goethe University Frankfurt. He graduated with Prof. Dr. Isabel Schnabel at Gutenberg University Mainz. Andreas did various research stays at the European Systemic Risk Board and the European Central Bank. His teaching specializes inter alia in financial modeling and risk management and applied econometrics. His research focuses mainly on financial intermediation, banking regulation and financial markets.
| Date | Session |
|---|---|
| Sat., June 7, 2025 | 09:00-16:30 |
| Fri., July 4, 2025 | 13:00-20:00 |