Modulhandbuch Master Wirtschaftsphysik - Universität Ulm

Credit Analysis
Modul zugeordnet zu Wahlbereich Wirtschaftswissenschaften
Code 8842870243
ECTS-Punkte 7
Präsenzzeit 4
Unterrichtssprache Englisch
Dauer 1 Semester
Turnus unregelmäßig
Modulkoordinator Professor Dr. Gunter Löffler
Dozent(en) Professor Dr. Gunter Löffler
Einordnung in die
Studiengänge
M.Sc. Wirtschaftswissenschaften, M.Sc. Finance
Vorkenntnisse Module "Investition und Finanzierung" or "Asset Pricing" or comparable knowledge
in finance
Lernergebnisse Students will:
• be able to assess the credit quality of a company following the approach used
by rating agencies,
• understand statistical credit scoring models (Logit, Probit) and be able to
implement them
• be able to estimate default probabilities using the option-theoretic approach
• be able to validate a rating system using historical rating and default data
• be able to set up a model for credit portfolio risk
• understand the key elements of bank regulation
• be familiar with modern credit instruments (CDS, securitization)
Inhalt • Rating process of rating agencies
• Statistical Models (Logit/Probit)
• Option-theoretic approaches to default risk
• Selected special topics
• Rating validation
• Measuring credit portfolio risk
• Bank regulation (Basel 2)
• Credit derivatives, securitization and the recent financial crisis
Master Wirtschaftsphysik Druckdatum: 06. März 2013 Seite 58 von 170