Coursebooks 2017-2018

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Credit risk

FIN-504

Lecturer(s) :

Trevisan Christopher

Language:

English

Remarque

Only for MA3

Summary

The course covers credit risk models as well as institutional features of credit derivative markets. The course covers single-name credit risk, as well as models of credit correlation and portfolio credit risk. The recent crisis and the current regulatory changes will also be discussed.

Content

  1. Introduction to credit markets
  2. Scoring models
  3. Structural models
  4. Reduced-form models
  5. Empirical determinants of credit spreads
  6. Credit Default Swaps (CDS)
  7. Collateralized Debt Obligations (CDO)
  8. Copulas, Credit Valuation Adjustment (CVA)
  9. Measuring sovereign default risk

Keywords

Credit risk, bankruptcy, ratings, securitization, CDS, CDO, CVA, Structural models, Reduced-form models, Copula.

Learning Prerequisites

Required courses

Learning Outcomes

By the end of the course, the student must be able to:

Transversal skills

Teaching methods

Lectures, homework

Assessment methods

40% Homework

60% Final Exam

Resources

Virtual desktop infrastructure (VDI)

No

Bibliography

Duffie and Singleton, Credit Risk: Pricing, Measurement and Management, Princeton University Press, 2003.

Lando, Credit Risk Modeling: Theory and Applications, Princeton University Press, 2004.

Ressources en bibliothèque

In the programs

Reference week

 MoTuWeThFr
8-9     
9-10     
10-11   EXTRANEF_126 
11-12    
12-13     
13-14EXTRANEF_126    
14-15    
15-16     
16-17     
17-18     
18-19     
19-20     
20-21     
21-22     
 
      Lecture
      Exercise, TP
      Project, other

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  • Autumn semester
  • Winter sessions
  • Spring semester
  • Summer sessions
  • Lecture in French
  • Lecture in English
  • Lecture in German