The course covers statistical analysis, simulation and optimization methods that are commonly used in management of both market and credit risk. Risk factors and loss distribution. Losses over several periods and scaling. Coherent measures of risk. Capital allocation. Extreme value analysis. Importance sampling. Simulation techniques, including random number generations, variance reduction methods and statistical analysis of simulation outputs. Bernoulli mixture models. Financial and actuarial pricing of credit risk. Case studies of major credit losses.