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IESEG School of Management ( IÉSEG )

Code Cours :



Niveau Année de formation Période Langue d'enseignement 
Professeur(s) responsable(s)P.MAZZA
Intervenant(s)Paolo MAZZA

Pré requis

Students who register for this course should
1. Have an advanced knowledge of statistics and probability theory;
2. Have a good understanding of quantitative methods;
2. Be familiar with financial derivatives such as forward and option contracts.

Objectifs du cours

At the end of the course, the student should be able to :
1. Define credit risk and distinguish from other type of risks;
2. Explain its different components such as Default Probability, Loss Given Default or Recovery Rate;
3. Understand the growing importance of credit risk in the financial markets since financial crisis has emerged and inside of a bank;
4. Compare notions and approaches of internal and external ratings;
5. Use the different credit risk models from a single and portfolio perspective;
6. Define and calculate the expected and unexpected loss;
7. Identify and compute different hedging tools using to manage credit risk;
8. Describe the recent developments in the credit risk industry and the current regulatory framework: notion of CVA, EMIR,…

Contenu du cours

1. Introduction (origin and history of credit risk)
2. Definition of credit risk. Distinguish credit risk from other types of risk and identify its determinants
3. Credit Risk inside of a financial institution
4. Credit Risk Models: Determinants (Default Probability, Recovery Rate and Loss Given Default), Ratings (Internal vs External Ratings, Rating Agencies), Pricing (Yields, Spreads,…), Credit Risk Models (single and portfolio), Expected and unexpected loss, exercices
5. Credit Risk Management Tools: Plain Vanilla Products, Derivatives, Structured, Risk Mitigation and others, exercices
6. Recent development and Regulatory framework: Basel 3, CVA/DVA, EMIR
7. Q&A, Exercices and Conclusion

Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
Independent study
Estimated personal workload28,00  
Independent work
Charge de travail globale de l'étudiant50,00  

Méthodes pédagogiques

  • Presentation
  • Research
  • Project work
  • Interactive class


The final exam will involve an individual take-home exam/project (data analysis and a written report) and presentations if the number of students involved in the course allows it.

Type de ContrôleDuréeNombrePondération
Oral presentation0,30150,00
Group Project0,00150,00
TOTAL     100,00


  • "Risk Management and Financial Institutions" from J. Hull -

* Informations non contractuelles et pouvant être soumises à modification
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