Theory of Credit Risk Models
What you'll learn
- How to identify, measure, manage and monitor Credit Risk
- Yes. Must be familiar with mathematical statistics and finance.
For the Actuarial Students
This course is designed for actuaries writing exam: SP9/CM2/CP1.
It is theoretical in nature and designed to introduce a student to the material.
It is not a substitute for studying, rather a supplement.
Risk is defined as the consequences resulting from uncertainty.
Credit Risk is defined as when a third party doesn't meet their obligation.
Part 1 is an introduction to Risk and looks at the mathematical properties of risk measures.
Part 2 is about being aware of Credit Risk
Part 3 is about identifying Credit Risk and its sources of uncertainty.
Part 4 is about the models used to assess Credit Risk.
Part 5 is about the Merton Model with an introduction to Option Pricing.
Part 6 is about Migration and Portfolio Models
Part 7 is about managing Credit Risk and goes beyond just using collateral.
Part 8 is an Appendix for the Jarrow-Turnbull Model (Stochastic & Markov Processes)
Who this course is for:
- Actuarial Students and Risk Analysts
Hi I'm MJ the Fellow Actuary. I've been making educational videos since 2013 on YouTube. I've passed all the actuarial exams and am here to help you do the same. I've majored in Mathematical Statistics and have published research in the South African Journal of Science on Artificial Intelligence. I've also done a Ted Talk on advanced studying methods. As your instructor my purpose is to make sure you understand every concept in these courses. If you get stuck with anything, send me a message, I'm here to help.