Stochastic and Econometric Models in Credit Risk Management mit Übung
type: | lecture | ||
---|---|---|---|
chair: | Statistik, Ökonometrie und Mathematische Finanzwirtschaft | ||
semester: | SS 2011 | ||
place: | 20.12, 002 (V) |
||
time: | Montag, Juni/Juli kompakt, 09:45 – 11:15 (Vorlesung) |
||
start: | 6. Juni 2011 | ||
lecturer: | Dr. Kim (Examina Prof. Dr. Rachev) |
||
sws: | 4 | ||
lv-no.: | 2520337 | ||
information: | Inhalt 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,
Literatur 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 |
||