After completing this course, students should be able to:

• recall  the most important credit derivatives and their use in financial applications;

• reproduce and understand the mathematical structure of credit risk models
• understand the mathematical derivation of key pricing formulas;
• apply the main mathematical conceps needed for credit risk models
• understand the relevance of dependence in the risk analysis of credit portfolios
• know the most important portfolio credit risk models and the risk drivers
• assess the advantages and limitations of various classes of   credit risk models;

Apart from gaining concrete knowledge and skills, students will have the opportunity to exercise themselves in team work while working on the home assignments and presentationsprojects.