Credit risk modelling
First seminar: Tuesday 26th of October
Pre-registration is mandatory via email to firstname.lastname@example.org including your name, student ID, study field and Studienordnung. Further information will be announced by email.
Credit risk is one of the fundamental factors of financial risk. This seminar gives an introduction to the so called "reduced-form" or "intensity based" approach of credit risk modeling in continuous time, after an introduction of semimartingales and related properties. In particular, times of defaults are modeled by unpredictable stopping times and their relation with a default intensity or hazard rate process is established. Based on this framework, the valuation and hedging problem of defaultable claims is discussed.
- II. Semimartingales and Stochastic Integrals (short introduction)
- III. Semimartingales and Decomposable Processes (short introduction)
- IV. General Stochastic Integration and Local Times (short introduction)
- 1. Introduction to Credit Risk (optional, only for background)
- 4. Hazard Function of a Random Time
- 5. Hazard Process of a Random Time
- 6. Martingale Hazard Process
- 8. Intensity-Based Valuation of Defaultable Claims