During this course, students will become acquainted with the essential models and the mathematical tools used in the modeling of credit risk and in the pricing ofcredit derivatives. The course will cover both single name and portfolio models.
|Freitag||08.03.2019||15:00 - 19:00||D4.0.127|
|Freitag||15.03.2019||15:00 - 19:00||D4.0.127|
|Montag||25.03.2019||14:00 - 18:00||D4.0.127|
|Freitag||29.03.2019||15:00 - 19:00||D4.0.127|
|Freitag||05.04.2019||15:00 - 19:00||D4.0.127|
|Freitag||12.04.2019||15:00 - 19:00||D4.0.127|
|Freitag||03.05.2019||15:00 - 19:00||D4.0.127|
|Freitag||10.05.2019||15:00 - 19:00||D4.0.127|
After completing this course, students should be able to:
- recall the most important credit derivatives and their use in financial applications;
- reproduce and understand the mathematical structure of credit risk models
- understand the mathematical derivation of key pricing formulas;
- apply the main mathematical conceps needed for credit risk models
- understand the relevance of dependence in the risk analysis of credit portfolios
- assess the advantages and limitations of various classes of credit risk models;
Apart from gaining concrete knowledge and skills, students will have the opportunity to exercise themselves in team work while working on the home assignments and presentationsprojects.
Full attendance is compulsory. This means that students should attend at least 80% of all lectures, at most one lecture can be missed.
50% written final exam
50% home assignments (in groups)
For passing the course students will have to reach an overal score of at least 50% and a minimum score of 40% in the final exam.