105.642 Credit risk models and derivatives
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2013S, VU, 3.0h, 4.0EC

Properties

  • Semester hours: 3.0
  • Credits: 4.0
  • Type: VU Lecture and Exercise

Aim of course

Introduction to the theoretical foundations for modelling and aggregation of credit risks, for modelling the term structure of credit spreads, and for pricing credit derivatives.

Subject of course

  • Actuarial credit risk models: Bernoulli and Poisson mixture models, CreditRisk+ and extensions, numerically stable algorithm for its implementation
  • Intensity-based credit risk models, term-structure models for credit spreads
  • Structural (asset-based) credit risk models (Merton, KMV)
  • Securitisation of loans and mortgages, credit derivatives, regulatory capital

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Wed09:00 - 10:3006.03.2013 - 26.06.2013Sem.R. DA grün 05 .
Wed10:30 - 12:3006.03.2013 - 26.06.2013FH Hörsaal 7 - GEO .
Credit risk models and derivatives - Single appointments
DayDateTimeLocationDescription
Wed06.03.201309:00 - 10:30Sem.R. DA grün 05 .
Wed06.03.201310:30 - 12:30FH Hörsaal 7 - GEO .
Wed13.03.201309:00 - 10:30Sem.R. DA grün 05 .
Wed13.03.201310:30 - 12:30FH Hörsaal 7 - GEO .
Wed10.04.201309:00 - 10:30Sem.R. DA grün 05 .
Wed10.04.201310:30 - 12:30FH Hörsaal 7 - GEO .
Wed17.04.201309:00 - 10:30Sem.R. DA grün 05 .
Wed17.04.201310:30 - 12:30FH Hörsaal 7 - GEO .
Wed24.04.201309:00 - 10:30Sem.R. DA grün 05 .
Wed24.04.201310:30 - 12:30FH Hörsaal 7 - GEO .
Wed08.05.201309:00 - 10:30Sem.R. DA grün 05 .
Wed08.05.201310:30 - 12:30FH Hörsaal 7 - GEO .
Wed15.05.201309:00 - 10:30Sem.R. DA grün 05 .
Wed15.05.201310:30 - 12:30FH Hörsaal 7 - GEO .
Wed22.05.201309:00 - 10:30Sem.R. DA grün 05 .
Wed22.05.201310:30 - 12:30FH Hörsaal 7 - GEO .
Wed29.05.201309:00 - 10:30Sem.R. DA grün 05 .
Wed29.05.201310:30 - 12:30FH Hörsaal 7 - GEO .
Wed05.06.201309:00 - 10:30Sem.R. DA grün 05 .
Wed05.06.201310:30 - 12:30FH Hörsaal 7 - GEO .

Course registration

Begin End Deregistration end
01.02.2013 00:00 10.03.2013 23:59 31.03.2013 23:59

Curricula

Literature

No lecture notes are available.

Language

if required in English