Track 01 · 12 modules
Credit Models
A complete teaching track on credit risk modeling. Built to be CFA-aligned where relevant — from FICO and Altman through Merton, CAMELS, Vasicek IRB, and copula simulation.
- 01
Foundations of Credit Risk
The vocabulary, the master equation, and the regulatory backdrop you need before anything else makes sense.
- 02
Retail Credit Scoring
How FICO actually works, how banks build their own scorecards with WOE and Information Value, and the reject inference problem nobody warns you about.
- 03
Corporate Credit Analysis
The Five Cs, the ratios that actually predict default, the Altman Z-score in all three flavors, and why the accounting-based models eventually hit a ceiling.
- 04
Interest Rates: Where the Price of Money Comes From
How to build any interest rate from named parts — real rate, inflation, and the risk premia — and why the same house, the same car, and the same borrower pay wildly different rates in the US and Mexico.
- 05
Bonds: Pricing the Promise
Bond anatomy, price as present value, yield to maturity, duration and convexity, and the credit spread — the number that connects the bond market to everything else in this track.
- 06
Structural Models: Merton and His Descendants
Equity is a call option on the firm's assets. Take that sentence seriously and you get default probabilities from market prices — the Merton model, KMV's EDF, Black-Cox, and Leland.
- 07
Reduced-Form Models: Default as a Surprise
Hazard rates, survival curves, Jarrow-Turnbull, Duffie-Singleton, and why the CDS market is the cleanest read on credit risk anyone has.
- 08
Ratings, Migration & Transition Matrices
How the big three agencies actually work, through-the-cycle vs. point-in-time, how to read and build a transition matrix, and the CreditMetrics idea that turned migration into mark-to-market risk.
- 09
Bank Supervision & Regulation: CAMELS, Capital, and Expected-Loss Accounting
How supervisors actually grade banks (CAMELS), what regulatory capital really is (CET1, RWA, buffers), what stress tests do, and why IFRS 9 / CECL changed loan accounting forever.
- 10
Portfolio Credit Risk: Correlation, Vasicek, and the Basel Formula
Why the portfolio is a different problem than the loan, why correlation is the input that matters most and is known least, and the single-factor model that became the world's bank capital formula.
- 11
Copulas, Tail Dependence & Counterparty Risk
Why correlation is not dependence, the copula zoo and what each tail implies, Monte Carlo credit VaR, wrong-way risk, the XVA alphabet — and what actually broke in 2008.
- 12
Modern Data Science in Credit
Why ML in credit is harder than ML anywhere else, when XGBoost actually beats the scorecard, how SHAP turns black boxes into reason codes, and the two disciplines — model risk and fair lending — that decide what ships.