Deutsch
Help
Login
Lectures
Courses
Academic Programs
Offered Theses
Application for studies
Mobility Services
roomTUlearn
Rooms
Booking Schedule
Student Support Services
Lehre
Forschung
Organisation
105.081
AKFVM Term Structure and Credit Risk Models
2010W
2007W
2005W
2007W, VU, 3.0h, 4.5EC
Properties
Semester hours: 3.0
Credits: 4.5
Type: VU Lecture and Exercise
Aim of course
Introduction to the mathematical theory of popular term structure models and to the concepts of credit risk modelling, risk aggregation and credit risk management. Special emphasis is given to practical aspects.
Subject of course
(I) Models in discrete time - Basic theory of interest (present value, internal rate of return, yield, duration, convexity, immunization) - Forward rates and term structure explanations, expectation dynamics - Binomial lattices and binomial trees for pricing interest rate derivatives, leveling - Bernoulli and Poisson mixture models for credit risks - CreditRisk+ and its extensions, numerically stable algorithm for its implementation (II) Models in continuous time - Brief review of Brownian motion, stochastic integrals and stochastic differential equations - Models for the short rate of interest (Vasicek model, Cox-Ingersoll-Ross model, affine models) - Forward rate models (Heath-Jarrow-Morton model) - Firm value (structural) models for credit risks (Merton, KMV) - Intensity based models for credit risks (III) Practical aspects - Securitization of loans and mortgages - Credit derivatives - Regulatory capital requirements for banks
Lecturers
Schmock, Uwe
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Course dates
Day
Time
Date
Location
Description
Tue
13:00 - 16:00
09.10.2007 - 02.02.2008
GM 7 Kleiner Schiffbau
SCHMOCK
Fri
13:15 - 16:00
11.01.2008
Sem.R. DA grün 06A
SCHMOCK
Fri
13:15 - 16:00
18.01.2008
Sem.R. DA grün 06A
SCHMOCK
Fri
14:00 - 16:45
25.01.2008
Sem.R. DA grün 06A
SCHMOCK
Show single appointments
AKFVM Term Structure and Credit Risk Models - Single appointments
F
P
1
N
E
Day
Date
Time
Location
Description
Tue
09.10.2007
13:00 - 16:00
GM 7 Kleiner Schiffbau
SCHMOCK
Tue
16.10.2007
13:00 - 16:00
GM 7 Kleiner Schiffbau
SCHMOCK
Tue
23.10.2007
13:00 - 16:00
GM 7 Kleiner Schiffbau
SCHMOCK
Tue
30.10.2007
13:00 - 16:00
GM 7 Kleiner Schiffbau
SCHMOCK
Tue
06.11.2007
13:00 - 16:00
GM 7 Kleiner Schiffbau
SCHMOCK
Tue
13.11.2007
13:00 - 16:00
GM 7 Kleiner Schiffbau
SCHMOCK
Tue
20.11.2007
13:00 - 16:00
GM 7 Kleiner Schiffbau
SCHMOCK
Tue
27.11.2007
13:00 - 16:00
GM 7 Kleiner Schiffbau
SCHMOCK
Tue
04.12.2007
13:00 - 16:00
GM 7 Kleiner Schiffbau
SCHMOCK
Tue
11.12.2007
13:00 - 16:00
GM 7 Kleiner Schiffbau
SCHMOCK
Tue
18.12.2007
13:00 - 16:00
GM 7 Kleiner Schiffbau
SCHMOCK
Tue
25.12.2007
13:00 - 16:00
GM 7 Kleiner Schiffbau
SCHMOCK
Tue
01.01.2008
13:00 - 16:00
GM 7 Kleiner Schiffbau
SCHMOCK
Tue
08.01.2008
13:00 - 16:00
GM 7 Kleiner Schiffbau
SCHMOCK
Fri
11.01.2008
13:15 - 16:00
Sem.R. DA grün 06A
SCHMOCK
Tue
15.01.2008
13:00 - 16:00
GM 7 Kleiner Schiffbau
SCHMOCK
Fri
18.01.2008
13:15 - 16:00
Sem.R. DA grün 06A
SCHMOCK
Tue
22.01.2008
13:00 - 16:00
GM 7 Kleiner Schiffbau
SCHMOCK
Fri
25.01.2008
14:00 - 16:45
Sem.R. DA grün 06A
SCHMOCK
Tue
29.01.2008
13:00 - 16:00
GM 7 Kleiner Schiffbau
SCHMOCK
F
P
1
N
E
Examination modalities
Active participation in the exercises, oral examination
Course registration
Not necessary
Curricula
Study Code
Obligation
Semester
Precon.
Info
No records found.
Literature
No lecture notes are available.
Language
German