Dr. Pasquale Cirillo



MOOC Professor of Credit Risk Management

The CR MOOC


  • Week 1: Definition of credit risk, Basel II and Basel III.
  • Week 2: Standardized and IRB approaches to credit risk, an introduction to R.
  • Week 3: Value-at-Risk, expected shortfall and coherence.
  • Week 4: Internal and external credit ratings.
  • Week 5: Merton’s model, KMV model.
  • Week 6: CreditMetrics, Credit Risk Plus and more about F-IRB.
  • Week 7: CDS and stress-testing.

What is a MOOC?


A MOOC is an online course aiming at large-scale interactive participation and open access via the web. In addition to traditional course materials such as videos, readings, and problem sets, MOOCs provide interactive user forums that help build a community for the students, professors, and teaching assistants.

And after? Do you want to make the next step?


If you liked my introductory MOOC, you may also be interested in my Professional Education course for practitioners. More info here.

© 2016 Dr. Pasquale Cirillo