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Quantitative Credit Risk Modeling: Theory and Practice

The MSc module “Quantitative Credit Risk Modeling: Theory and Practice” addresses the diverse challenges involved in measuring, managing, and controlling credit risks. To this end, the module begins by analyzing the fundamental theoretical and empirical interrelationships. The focus then shifts to issues related to the assessment of credit risks. In a practical context, the course covers modeling approaches for credit portfolios (expected and unexpected loss) as well as advanced methods for modeling and validating risk parameters (Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD)). Current developments in credit risk, such as the implementation of IFRS 9 (Financial Instruments), are part of the course. The course thus covers a broad spectrum of highly relevant topics from the theory and practice of “Accounting & Finance,” thereby specifically preparing students for future careers in a credit institution. 

The module is offered as needed during the summer semester by members of the ifG Marburg as part of the various degree programs of the School of Business & Economics for master’s students and (advanced) bachelor’s students. In specific formats, the module can also be offered as an executive program for members of the support association of the ifG Marburg.