Undergraduate Studies
Academic Year 2025-26
Credit Risk Management
Files and Links
- Course Outline .pdf (Greek)
- Course Outline .pdf (English)
- Full Description @courses.xrh
- Link to e-class
6th or 8th Semester
ΧΡΜΔΠΚ01
Course id
7,5
ECTS
Elective
Course type
The goal of the course “Credit Risk Measurement and Management” is the in-depth examination on the measurement and management of risks faced by financial institutions and the financial system. The main type of risks that are being analysed during the course are the Market Risk and the Credit Risk. The presentation of these risks is being done through the use of realistic examples.
With the successful completion of the course, a student:
- Will be aware of how financial institutions operate, as well as the risks they face.
- Will be able to understand the theoretical framework and apply the statistical tools to measure the different types of risk.
- Will be able to solve risk management problems by effectively using the technical approaches used by financial institutions to manage risk.
- Search for, analysis and synthesis of data and information, with the use of the necessary technology.
- Decision-making.
- Working in an international environment.
- Production of free, creative and inductive thinking
- Introduction
- Theoretical Introduction
- The importance of risk management for a financial institution (internal management, supervisory authorities)
- Risk – return trade – off
- Financial institutions’ management incentives and the importance of supervisory control
- Technical Introduction
- Volatility (definitions, assumptions, valuation methods, possible problems)
- Correlation (definitions, assumptions, valuation methods, possible problems)
- Copulas (definitions, assumptions, valuation methods, possible problems)
- Theoretical Introduction
- Market Risk
- Risk Management: Standalone & Cumulative
- Standalone
- Derivatives – Greek letters
- Cumulative
- RiskMetrics – Value at Risk (VaR)
- Expected Shortfall
- VaR estimation:
- From historical data – Historical Simulation
- Theoretical model
- Monte Carlo simulation
- Credit Risk
- Credit Ratings
- Altman’s Z-score
- Default probability based on historical data
- Default recovery rates
- Default probability estimation (bond prices)
- Default probability estimation: historical data vs bond prices
- Default probability estimation (stock prices)
- Distance to Default (Merton’s Model)
- Credit VaR
- Credit Risk Plus
- CreditMetrics
