105.027 Credit Risk Modelling Canceled

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

Examination modalities

To be held orally.

Course registration

Not necessary

Curricula

Study CodeObligationSemesterPrecon.Info
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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