Skip to main content

Credit Risk Management


  • Credit value: 15 credits at Level 7
  • Tutor: Ilaria Peri
  • Assessment: a two-hour examination and take-home exercise

Module description

This module examines the different reasons for (and approaches to) measuring credit risk, the mathematical and statistical theory behind the subject and how to apply this to solve real-world problems.

Indicative module syllabus

  • Essential Mathematics of Credit Risk - Stochastic Process and Advanced Probability Theory
  • Structural Models for Credit Risk
  • Industrial Standard Models for Credit Risk
  • Reduced Form Models for Credit Risk
  • Credit Default Swaps and Credit Value Adjustments

Learning objectives

By the end of this module, you will be able to:

  • demonstrate a sound knowledge of the essential mathematics of credit risk
  • demonstrate an excellent working knowledge of the most commonly used models in credit risk management
  • price simple credit derivatives
  • demonstrate sound understanding of the most actively used credit products, such as credit default swaps (CDS) and credit valuation adjustments (CVA).