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Stochastic and Econometric Models in Credit Risk Management mit Übung

Stochastic and Econometric Models in Credit Risk Management mit Übung
type: lecture
chair: Statistik, Ökonometrie und Mathematische Finanzwirtschaft
semester: SS 2011

20.12, 002 (V)
20.12, 002  (Ü)


 Montag, Juni/Juli kompakt, 09:45 – 11:15 (Vorlesung)
Montag, Juni/Juli kompakt, 11:30 – 13:00 (Übung)

start: 6. Juni 2011

Dr. Kim (Examina Prof. Dr. Rachev)

sws: 4
lv-no.: 2520337


The deregulation of European markets and the advent of monetary union have resulted in greater liquidity and more competition, creating a truly homogeneous European credit market. Second, given the low level of nominal interest rates, investors are willing to take on more credit risk to boost returns. Third, the regulatory authorities are set to accept the use of internal models for risk management. This will enable banks to better identify and measure credit risk and therefore manage it more effectively.

The course is intended as a mathematically rigorous introduction to the stochastic and econometric models used in credit risk modeling. We will start with a review on term-structure models, and then continue with pricing credit risk and credit risk derivatives using

-firm's value models,    
-intensity models,
-rating based models
-pricing credit derivatives



David Lando, Credit Risk Modeling: Theory and Applications, Princeton Series in Finance, 2004

Philipp J. Schönbucher, Credit Derivatives Pricing Models: Model, Pricing and Implementation, Wiley-Finance, 2003

Darrell Duffie, Kenneth J. Singleton, Credit Risk: Pricing, Measurement and Management, Princeton Series in Finance, Princeton University Press, 2003

Stefan Trueck, Svetlozar T. Rachev , Rating Based Modeling of Credit Risk: Theory and Application of Migration Matrices , Academic Press Advanced Finance, 2008