105.027 Credit Risk Modelling
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2005S, VO, 2.0h, 3.0EC


  • 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

1. review: BSM and central concepts of continuous time finance 2. widely used interest rate models (Vasicek, CIR, HJM etc.) 3. option based approach to corporate bond pricing and its extensions (Merton, KMV) 4. intensity modelling, the Cox Process (JM,JLT, Duffie Singleton) 5. correlation and portfolio credit risk, CDOs 6. comparative anatomy of 3 credit risk models used in banking 7. credit derivatives 8. regulatory capital allocation of banks




Course dates

Tue16:30 - 18:0008.03.2005Seminarraum 105B Vorbesprechung: FARKAS
Tue16:30 - 18:0005.04.2005 - 30.06.2005Seminarraum 105B FARKAS
Credit Risk Modelling - Single appointments
Tue08.03.200516:30 - 18:00Seminarraum 105B Vorbesprechung: FARKAS
Tue05.04.200516:30 - 18:00Seminarraum 105B FARKAS
Tue12.04.200516:30 - 18:00Seminarraum 105B FARKAS
Tue19.04.200516:30 - 18:00Seminarraum 105B FARKAS
Tue26.04.200516:30 - 18:00Seminarraum 105B FARKAS
Tue03.05.200516:30 - 18:00Seminarraum 105B FARKAS
Tue10.05.200516:30 - 18:00Seminarraum 105B FARKAS
Tue17.05.200516:30 - 18:00Seminarraum 105B FARKAS
Tue24.05.200516:30 - 18:00Seminarraum 105B FARKAS
Tue31.05.200516:30 - 18:00Seminarraum 105B FARKAS
Tue07.06.200516:30 - 18:00Seminarraum 105B FARKAS
Tue14.06.200516:30 - 18:00Seminarraum 105B FARKAS
Tue21.06.200516:30 - 18:00Seminarraum 105B FARKAS
Tue28.06.200516:30 - 18:00Seminarraum 105B FARKAS

Examination modalities

To be held orally.

Course registration

Not necessary


Study CodeObligationSemesterPrecon.Info
066 415 Actuarial Mathematics Not specified


Björk: Stochastic Calculus. additional literature: F. Black and J. Cox (1976), Valuing Corporae Securities: Liabilities. Some Effects of Bond Indentured Provisions ; Journal of Finance 31 (May), p 351-367. I. Kim, K. Ramaswamy, and S. Sundresan (1993), Does Default Risk iin Coupons Affect the Valuation of Corporate Bonds? A Contingent Claims Model ; Financial Management 22, p 117-131. F. A. Longstaff and E. S. Schwartz (1995), A Simple Approach to Valuing Risky Debt ; Journal of Finance 50, p 789-821. R. Merton (1974), On The Pricing of Corporate Debt. The Risk Structure of Interest Rates ; Journal of Finance 29, p 449-470 Shimko, N. Tejima and D. Van Deventer (1993), The Pricing of Risky Debt when Interest Rates are Stochastic ; The Journal of Fixed Income, September 1993, p 58-66.

Previous knowledge

Basics in probability theory and stochastic analysis Lecture Advanced Mathematics of Finance