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.