Seminar on Credit Risk Modeling
The aim of the seminar is to study the mathematical foundations of credit risk models. We focus on intensity based models. These are currently applied in different contexts such as
- Risky corporate debt
- Credit default swaps and basket credit derivatives
- Counterparty risk metrics such as CVA and DVA
The list above covers the historical development of credit risk models: the very first application was the valuation of the debt of an agent/firm who might not be able to honor his/her obligations. The level of complexity progressively increased during the 90s with the introduction of single name CDSs and exploded in the early 2000s with the introduction of complex basket credit derivatives such as first to default CDSs or CDOs. After the 2007-2009 financial crisis credit risk has become ubiquitous in the valuation of derivatives on any asset class due to the necessity of considering counterparty credit risk as an element of the valuation of any contingent claim.
Emphasis will be put on the study of the probabilistic tools needed for the construction of credit risk models.
Time/Date: Tuesday 8-10 a.m. Room B 251. First lecture: Tuesday 24th of October
Target Participants: Master students of Business Mathematics or Mathematics. Interested participants are asked to apply by email: email@example.com.
Pre-requisites: Finanzmathematik 2.
- Bielecki, T.and Rutkowski, M. Credit Risk: Modeling, Valuation and Hedging. Springer, Heidelberg, first edition, 2002