Advanced Credit Risk Management

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Advanced Credit Risk Management

This course is part of Market Credit and Operational Risk Management Specialization

Instructor: EDUCBA

Included with

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10 modules

Gain insight into a topic and learn the fundamentals.

3 weeks to complete

at 10 hours a week

Flexible schedule

Learn at your own pace

10 modules

Gain insight into a topic and learn the fundamentals.

3 weeks to complete

at 10 hours a week

Flexible schedule

Learn at your own pace

What you'll learn

Analyze credit risk, counterparty exposure, and default probability using quantitative models.
Evaluate CVA, securitization, credit derivatives, and collateral management frameworks.
Apply portfolio credit risk, stress testing, and exposure management techniques in banking.

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This course is part of the Market Credit and Operational Risk Management Specialization

When you enroll in this course, you'll also be enrolled in this Specialization.

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There are 10 modules in this course

Master advanced credit risk concepts essential for FRM Level 2 success and real-world financial risk management.

Learn credit risk modeling, counterparty exposure, CVA, securitization, stress testing, and credit derivatives through structured, exam-focused learning. This course provides comprehensive training in modern credit risk management practices used across banking and financial institutions. Learners will explore qualitative and quantitative credit analysis, counterparty risk frameworks, collateral management, CCP structures, credit valuation adjustment (CVA), securitization, portfolio credit risk, and retail credit risk modeling. The course also covers advanced topics such as default probability estimation, hazard rates, credit spreads, copula models, credit derivatives, stress testing, and risk-adjusted performance measurement. Through practical examples and structured assessments, learners will strengthen analytical skills required for FRM Level 2 examinations and professional risk management roles. By the end of the course, learners will be able to analyze complex credit risk scenarios, evaluate exposure management strategies, apply quantitative credit models, and confidently approach FRM Level 2 credit risk topics.

Learn the core principles of credit decisions, qualitative and quantitative credit analysis, and the evolving role of banking credit analysts in financial risk management.

What's included

12 videos7 assignments

12 videosTotal 72 minutes

The Credit Decision and Credit Risk9 minutes
Credit Risk Evaluation Components9 minutes
Qualitative Techniques of Credit Risk Evaluation11 minutes
Credit Analysis Comparison8 minutes
Quantitative Measures6 minutes
Expected Loss Calculation and Bank Failure5 minutes
Credit Analyst Roles8 minutes
Functional Objectives5 minutes
Credit Analyst - Others5 minutes
Start of banking Credit Analyst Role2 minutes
Banking Credit Analyst Role2 minutes
Banking Credit Analyst Role Continue2 minutes

7 assignmentsTotal 90 minutes

Understanding Credit Decisions10 minutes
Qualitative Credit Analysis Techniques10 minutes
Quantitative Credit Risk Metrics10 minutes
Roles of Credit Analysts10 minutes
Expanding Credit Analyst Responsibilities10 minutes
Banking Credit Analyst in Practice10 minutes
Foundations of Credit Risk Assessment30 minutes

Explore counterparty risk frameworks, collateral agreements, valuation processes, and risk mitigation techniques used in modern financial markets.

What's included

12 videos7 assignments

12 videosTotal 69 minutes

Banking Credit Analyst Skills5 minutes
Sources of Information8 minutes
Counterparty Risk vs Lending Risk5 minutes
Transactions that Carry Counterparty Risk6 minutes
Counterparties that Carry Counterparty Risk3 minutes
Counterparty Risk Terminologies8 minutes
Managing And Mitigating Counterparty Risk12 minutes
CSA5 minutes
Valuation Agent1 minute
Types Of Collateral and Disputes5 minutes
Collateralization Agreement Features5 minutes
Haircut5 minutes

7 assignmentsTotal 90 minutes

Core Skills and Information Sources10 minutes
Understanding Counterparty Risk10 minutes
Counterparties and Risk Terminologies10 minutes
Counterparty Risk Management Techniques10 minutes
Valuation and Collateral Management10 minutes
Collateral Agreement Structures10 minutes
Counterparty Risk and Credit Infrastructure30 minutes

Analyze netting mechanisms, CCP structures, margin systems, and centralized clearing frameworks for managing systemic counterparty risk.

What's included

13 videos7 assignments

13 videosTotal 77 minutes

CSA Agreements And Collateral Agreements Risks8 minutes
ISDA6 minutes
Netting and Close Out8 minutes
Multilateral Netting3 minutes
Termination Features9 minutes
Functions of CCP's5 minutes
Strength and Weakness5 minutes
Netting Framework5 minutes
Challenges in CCP Framework3 minutes
Waterfall Approach7 minutes
Initial Margin and Variation Margin7 minutes
CCP Failure6 minutes
Practice Questions4 minutes

7 assignmentsTotal 90 minutes

Risks in Collateral Agreements10 minutes
Netting and Close-Out Mechanisms10 minutes
Termination and CCP Functions10 minutes
Strengths and Challenges of CCPs10 minutes
Margining and CCP Risk Management10 minutes
Margins, Failures, and Practice10 minutes
Netting, Collateral, and CCP Frameworks30 minutes

Evaluate wrong-way risk scenarios, credit rating methodologies, default modeling approaches, and statistical credit risk frameworks.

What's included

12 videos7 assignments

12 videosTotal 78 minutes

WWR7 minutes
WWR Example4 minutes
WWR Example - Options and CDS7 minutes
WWR Example - FX and Commodities10 minutes
Practice QS4 minutes
Rating Systems6 minutes
Three Approaches5 minutes
Rating Migration Matrix4 minutes
Rating Agencies Methodologies5 minutes
Borrower Rating and Probability of Default11 minutes
Merton Models9 minutes
LDA Models and LOGIT Models8 minutes

7 assignmentsTotal 90 minutes

Understanding Wrong-Way Risk10 minutes
WWR Applications in Markets10 minutes
WWR Review and Practice10 minutes
Credit Rating Methodologies10 minutes
Rating Agencies and Default Risk10 minutes
Structural and Statistical Models10 minutes
Wrong-Way Risk and Credit Rating Systems30 minutes

Apply advanced credit analytics, CVA methodologies, simulation models, collateral impacts, and risk-adjusted performance measurement techniques.

What's included

14 videos7 assignments

14 videosTotal 87 minutes

Cluster and PCA10 minutes
Differences Between FA and PCA2 minutes
Cash Flow Simulation Models9 minutes
Applying Qualitative Information8 minutes
Credit Valuation Adjustments7 minutes
Credit Valuation Adjustments as a Spread3 minutes
Impact of change in assumptions on CVA3 minutes
Impact of Collateralization and Netting Incremental6 minutes
Converting CVA and Applying to Path Dependent Products5 minutes
Practice Questions4 minutes
Classification and Key Concepts of Credit Risk12 minutes
Expected Loss and Unexpected Loss8 minutes
Marginal and RAROC8 minutes
Classification and Key Concepts Practice Questions2 minutes

7 assignmentsTotal 90 minutes

Advanced Data Analytics in Credit Risk10 minutes
Simulation and Qualitative Applications10 minutes
Introduction to Credit Valuation Adjustment10 minutes
CVA Assumptions and Collateral Effects10 minutes
Advanced CVA Applications10 minutes
Credit Risk Classification and RAROC10 minutes
Advanced Credit Risk Modeling and CVA30 minutes

Examine securitization structures, mortgage performance metrics, structured credit products, and subprime market risk dynamics.

What's included

12 videos7 assignments

12 videosTotal 84 minutes

Securitization Process8 minutes
Approaches Under Securitization6 minutes
Structures Under Securitization7 minutes
Benefits and Performance Analysis Tools12 minutes
Define and Calculate the Delinquency Ratio9 minutes
Default Ratio MPR DSCR WAC and WAM6 minutes
Securitization Process and Frictions12 minutes
Characteristics of The Subprime Mortgage Market6 minutes
Multiple Small Topics6 minutes
Multiple Small Topics Continue6 minutes
Understanding the Securitization Practice Qs3 minutes
Merton Model4 minutes

7 assignmentsTotal 90 minutes

Foundations of Securitization10 minutes
Structures and Performance Analysis10 minutes
Delinquency and Mortgage Metrics10 minutes
Frictions and Market Characteristics10 minutes
Special Topics in Structured Credit10 minutes
Securitization Practice and Applications10 minutes
Securitization and Structured Credit Analysis30 minutes

Understand structural credit risk models, credit spreads, default distributions, and the application of credit derivatives in risk transfer.

What's included

12 videos7 assignments

12 videosTotal 79 minutes

Merton Model Continues5 minutes
The Value of Equity at Time T8 minutes
Relationship Between CS and Time to Maturity7 minutes
Sub Debt and Senior Debt9 minutes
Credit Risk and Credit Metrics8 minutes
Other Models5 minutes
Credit Derivatives10 minutes
Derivatives with Credit Risk 8 minutes
Credit Risk and Credit Derivatives Practice QS5 minutes
Credit Spreads7 minutes
Binomial4 minutes
Exponential Distribution3 minutes

7 assignmentsTotal 90 minutes

Merton Model Deep Dive10 minutes
Credit Spreads and Debt Structure10 minutes
Credit Metrics and Alternative Models10 minutes
Credit Derivatives Fundamentals10 minutes
Practice and Credit Spread Foundations10 minutes
Default Distribution Modeling10 minutes
Structural Models and Credit Derivatives30 minutes

Model hazard rates, CDS spreads, default probabilities, recovery rates, and credit spread dynamics in financial risk management.

What's included

12 videos7 assignments

12 videosTotal 64 minutes

Hazard Rate5 minutes
Risk Neutral Hazard Rate4 minutes
CDS Spread and Hazard Rate3 minutes
Spread Risk6 minutes
Spread Risk and Default Intensity Models Practice Question4 minutes
Cumulative and Marginal Default Probabilities3 minutes
Risk Neutral Default Probabilities vs. Real World Default Probabilities5 minutes
Various Approaches for Estimating Price6 minutes
Recovery Rate5 minutes
Credit Spread Curve10 minutes
Credit Spreads and Credit Derivatives Practice Question4 minutes
Default Corel7 minutes

7 assignmentsTotal 90 minutes

Hazard Rates and CDS Pricing10 minutes
Spread Risk and Intensity Models10 minutes
Practice in Spread Risk Modeling10 minutes
Default Probability Estimation10 minutes
Recovery Rates and Credit Curves10 minutes
Credit Derivative Applications10 minutes
Default Risk and Credit Spread Modeling30 minutes

Assess portfolio credit risk, copula models, credit transfer markets, securitization impacts, and counterparty exposure measurement.

What's included

12 videos7 assignments

12 videosTotal 81 minutes

Calculating CVaR9 minutes
Single Factor Model9 minutes
Credit Var Using Copulas5 minutes
Portfolio Credit Risk Practice QS3 minutes
Introduction to Credit Transfer Market and their implications5 minutes
Credit Mitigation Techniques6 minutes
Originate to Distribute Model and CDS7 minutes
Credit Derivative8 minutes
Secularization Process7 minutes
Credit Transfer Market and their implications Practice QS11 minutes
Introduction to Credit Exposure1 minute
Metrics for Credit Exposure9 minutes

7 assignmentsTotal 90 minutes

Portfolio Credit Risk Measurement10 minutes
Copulas and Portfolio Modeling10 minutes
Credit Transfer Markets Overview10 minutes
CDS and Originate-to-Distribute Models10 minutes
Securitization and Market Implications10 minutes
Introduction to Credit Exposure10 minutes
Portfolio Credit Risk and Credit Transfer Markets30 minutes

Analyze exposure modeling, collateral impacts, stress testing frameworks, retail banking risk, and risk-based pricing models.

What's included

15 videos7 assignments

15 videosTotal 112 minutes

Credit Exposure Factors8 minutes
Security Profiles9 minutes
Modelling Netting Exposure10 minutes
Collateralize Impact8 minutes
Modeling Collateral7 minutes
Credit Exposure Practice QS2 minutes
Introduction to The Evolution of Stress Testing Counterparty Exposures10 minutes
Stress testing Current Exposure9 minutes
Stress testing DVA10 minutes
The Evolution of Stress Testing Counterparty Exposures Practice QS3 minutes
Retail Banking Risks5 minutes
Dark side of Retail Credit Risk8 minutes
Credit Risk Scoring Model8 minutes
Scorecard Performance10 minutes
Risk Based Pricing7 minutes

7 assignmentsTotal 90 minutes

Exposure Drivers and Security Profiles10 minutes
Netting and Collateral Modeling10 minutes
Collateral and Exposure Applications10 minutes
Stress Testing Counterparty Exposure10 minutes
DVA Stress Testing and Review10 minutes
Retail Credit Risk and Pricing Models10 minutes
Credit Exposure, Stress Testing, and Retail Credit Risk30 minutes

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Instructor

EDUCBA

1,533 Courses318,998 learners

Offered by

EDUCBA

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