Introduction to the theoretical foundations for modelling and aggregation of credit risks, for modelling the term structure of credit spreads, and for pricing credit derivatives.

• Actuarial credit risk models: Bernoulli and Poisson mixture models, CreditRisk+ and extensions, numerically stable algorithm for its implementation
• Intensity-based credit risk models, term-structure models for credit spreads
• Structural (asset-based) credit risk models (Merton, KMV)
• Securitisation of loans and mortgages, credit derivatives, regulatory capital