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Advanced Credit Risk Management online course

Credit risk management in a rigorous yet inspiring way!

This unique online course of TU Delft and Deloitte is for those ambitious risk professionals, consultants and managers who are eager to master the most important models of credit risk management, and to understand and discuss the always-changing regulatory framework. With the knowledge and experience gained, you will be able to advance your current work tasks and support future professional development in the field.

Online Course – 4 modules in 10 weeks – start in March

The 10-week online course comprises four modules that offer you an effective blend of theory and practice to make it both challenging and valuable for your work. With the knowledge and experience gained, you will be able to advance your current work tasks and support future professional development in the field.

Deloitte also organizes local Live Chapter Meetings to meet fellow participants and the instructors, learn current topics and discuss your questions.

Dr. Pasquale Cirillo accommodates the academic part of the course. He is a risk expert from the Department of Applied Mathematics at TU Delft, coordinator of the financial engineering specialization and experienced statistical consultant for major companies and institutions. Credit risk practitioners from Deloitte share knowledge on credit risk in practice to ensure the course its relevance for the industry. There are five local Deloitte member firms that share practical knowledge and their credit risk specialism: France, Germany, Belgium, Austria, and The Netherlands.

Course Highlights

  • Discussion of current and future regulatory frameworks concerning credit risk, from Basel II and III to IFRS 9
  • Review of the most relevant models for PD and LGD: from Moody’s KMV to CreditMetrics, from logistic regression to survival analysis, with an emphasis on vital concepts like PIT and TTC estimates
  • Gain practical experience with accompanying learning modules created by Deloitte
  • Access course material 24/7, learn in the time that suits you
  • Interact and collaborate with other credit risk professionals from all over the world
  • Enjoy diverse learning materials including video lecture, readings, exercises and assignments.
  • Attend local Live Chapter Meetings to have live discussions with and ask questions to Deloitte experts and fellow participants.

Who should participate?

This course is for anyone who is ambitious enough to seek a higher level of competence when dealing with credit risk. Participants may include:

  • Credit risk professionals and managers who would like to understand what lies behind the formulas and models they use on a daily basis
  • Risk professionals who would like to increase their understanding of credit risk

Prerequisites: Knowledge of basic risk management, statistics and probability at the advanced bachelor/master level is required, but external references will be provided. Professional business experience is a plus.

During the course, codes and examples will be developed using the R language, but participants are free to use their preferred language.

Learning Objectives

  • Gain knowledge about the latest regulatory developments, such as IFRS9 and the future Basel IV
  • Develop a more solid understanding of the mathematics behind credit risk modeling, which will help you to better understand the foundation of the formulas and models you regularly use
  • Analyze the strengths and weaknesses of important credit risk models
  • Work with model risk and error quantification
  • Explore open questions like small sample corrections and dependence modeling
  • Investigate the implications of dropping assumptions like Gaussianity.


The course is held over ten weeks + additional twenty weeks to complete all the assignments, and will provide the following:

  • 4 modules covering more than 20 topic areas with an estimated work load of 4-6 hours per week
  • Quizzes, exams and final assignment assessments to reinforce key learning concepts
  • A business view on credit risk and putting the theory to practice in lectures provided by Deloitte
  • Discussion Forums for participants to discuss thought provoking questions about credit risk
  • Downloadable course material
  • Course material remains accessible even after ending the course.

Get the most out of your Advanced Credit Risk Management course.

Register now to reserve your place and join the Deloitte Live Chapter Meetings in either one of these countries: the Netherlands, France, Belgium, Germany, or Austria.

This is what you can expect;

  • Discuss your questions with Dr. Cirillo and Deloitte credit risk experts
  • Meet fellow course participants
  • Build your credit risk network
  • Gain insights into current topics in Europe & the country in which you are attending the Live Chapter Meeting

Please note that the Live Chapter Meetings will take place on different dates for each country.

 

Live Chapter Meetings

The Live Chapter Meetings take place to complement the online course. There will be a kick-off meeting at the start of the course and Live Chapter Meetings will take place in the fourth module of the course.somewhere in March. More details on dates and locations of the Live Chapter Meetings and kick-off meeting will follow soon.

Facilitator TU Delft

Dr. Pasquale Cirillo
(@DrCirillo) – www.pasqualecirillo.eu

Assistant professor of Applied Probability at the Department of Applied Mathematics, Faculty of Electronic Engineering, Mathematics and Computer Sciences, Delft University of Technology and Coordinator of the Financial Engineering Specialization.

At TU Delft since 2012, Dr. Pasquale Cirillo received his Habilitation in Applied Statistics from the University of Bern, Switzerland, and his PhD in Statistics from Bocconi University, Italy. In addition to statistics, he studied economics at the Sant'Anna School of Advanced Studies in Pisa, Italy. He is an expert in risk and extreme value theory, with applications in finance, economics and the social sciences. He has published on top international journals and collaborated with some of the most renowned international scholars in the field.

Qualifications

By completing this course you will earn a professional education certificate of TU Delft. With this certificate you are eligible to receive 3.0 Continuing Education Units (CEUs).

Sample video lectures

Watch 4 sample video lectures from the course Advanced Credit Risk Management to learn more about the teaching style and the topics:

TU Delft

The online professional education courses of TU Delft are specifically designed for working professionals. The courses provide access to the knowledge and expertise of the leading technical universities in Europe and support the personal and professional ambitions of professionals of all levels.

Deloitte

Deloitte is a worldwide leading professional services firm. Deloitte’s financial risks management and consulting services have been serving financials for years and have positioned themselves in the forefront of the financial industry.

Contact

Florian Reuter

Florian Reuter

Manager

I am a manager in the Financial Risk Management team with a focus on the development, validation and use of models in financial services. With professional experience in risk models and regulation, an... Meer

Dirard Mikdad

Dirard Mikdad

Director

I am a director within the Financial Risk team with a strong focus on managing regulatory change programs in the credit and market risk area. I am an experienced risk expert with various roles in liqu... Meer

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