Credit Risk Management

This course is offered during the summer term.

Lecture Credit Risk Management (22 334)

Dr. Maximilian Nagl

Tuesday 10 - 12h

Start: First lecture will be on Thursday, April 24, 2025

Room: H 9

Tutorial Credit Risk Management (22 335)

Thursday 14 - 16h

Start: May 08, 2025

Room: H 17

Contents

• Specific banking risks and (credit) risk management
• Default risk measurement on counterparty level
• Borrower dependencies, portfolio risk and portfolio models
• Modelling and measuring recovery/LGD
• Regulatory treatment of credit risk (Basel II / III)
• Credit derivatives and securitizations / structured credit products
• Case studies

Results of previous exams

Further Information

• The whole course will be taught in German
• Course materials will be made available via GRIPS
• Course registrationis is via SPUR

Detailed course description: German, English