Theory of Credit Risk Models

For the Actuarial StudentsThis 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.

IntroductionRisk is defined as the consequences resulting from uncertainty. Credit Risk is defined as when a third party doesn't meet their obligation. ContentPart 1 is an introduction to Risk and looks at the mathematical properties of risk measures.

Part 2 is about being aware of Credit RiskPart 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 ModelsPart 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).