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Credit Risk Management

This course is offered during the summer term.


Lecture Credit Risk Management (22 334)

Prof. Dr. Daniel Rösch

Tuesday 10 - 12h

Start: April 16, 2024

Room: H 9


Tutorial Credit Risk Management (22 335)

Igor Honig, M.Sc.

Thursday 14 - 16h

Start: April 18, 2024

Room: H 17


Contents

  • Specific banking risks and (credit) risk management
  • Default risk measurement on counterparty level
  • Borrower dependencies, portfolio risk and portfolio models
  • Modelling and measuring recovery/LGD
  • Regulatory treatment of credit risk (Basel II / III)
  • Credit derivatives and securitizations / structured credit products
  • Case studies

Results of previous exams

Semester Average course grade
SoSe 2021 2.35
SoSe 2022 2.48
SoSe 2023 2.09

Further Information

  • The whole course will be taught in German
  • Course materials will be made available via GRIPS
  • Course registrationis is via SPUR

Detailed course description: German, English


  1. Faculty of Business, Economics and Management Information Systems
  2. Department of Business Administration

Chair of Statistics and Risk Management

Research Assistant

Igor Honig

Honig 191 191

Room RW(S) 219

Phone +49 941 943-2296
Fax +49 941 943-4936
E-Mail
Office hours: by arrangement