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105.027
Credit Risk Modelling
Canceled
2005S
2004S
2003S
2002S
2004S, VO, 2.0h, 3.0EC
Properties
Semester hours: 2.0
Credits: 3.0
Type: VO Lecture
Aim of course
This lecture introduces you into the basic concepts of credit risk management. We will cover models, which are widely used in practice, as well as theoretical and mathematical concepts.
Subject of course
Preliminary Course Outline: 1. Interest Rate Structure 2. Merton-Modell, KMV-Modell 3. VaR - CreditMetrics 4. Portfolios - CreditMetrics 5. CreditRisk+ 6. Monte Carlo Simulations 7. Credit Derivatives
Lecturers
Gaier, Johanna
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Examination modalities
To be held orally.
Course registration
Not necessary
Curricula
Study Code
Obligation
Semester
Precon.
Info
No records found.
Literature
References will be given during the lecture and can be found at http://www.fam.tuwien.ac.at/~fulmek/teaching.shtml.
Previous knowledge
Basics in probability theory and stochastic analysis Lecture Advanced Mathematics of Finance
Language
German