On July 30th, 2024, due to an important database update, there will be service interruptions in the Student Self-Service and Workforce Management areas between 8 AM and 11 AM. Thank you for your understanding.

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.

2023S, VU, 3.0h, 4.0EC

Properties

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

Learning outcomes

After successful completion of the course, students are able to...

reflect and explain the theory as well as to apply the learned skills in practice (this is a standard text, which will be updated during September 2019).

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

Teaching methods

The basic contents and concepts are presented by the head of the LVA and illustrated and discussed with the help of examples.

Mode of examination

Immanent

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Wed09:00 - 12:0001.03.2023 - 28.06.2023Sem.R. DC rot 07 .
Credit risk models and derivatives - Single appointments
DayDateTimeLocationDescription
Wed01.03.202309:00 - 12:00Sem.R. DC rot 07 .
Wed08.03.202309:00 - 12:00Sem.R. DC rot 07 .
Wed15.03.202309:00 - 12:00Sem.R. DC rot 07 .
Wed22.03.202309:00 - 12:00Sem.R. DC rot 07 .
Wed29.03.202309:00 - 12:00Sem.R. DC rot 07 Online via Zoom - siehe TISS-News
Wed19.04.202309:00 - 12:00Sem.R. DC rot 07 .
Wed26.04.202309:00 - 12:00Sem.R. DC rot 07 .
Wed03.05.202309:00 - 12:00Sem.R. DC rot 07 .
Wed10.05.202309:00 - 12:00Sem.R. DC rot 07 .
Wed17.05.202309:00 - 12:00Sem.R. DC rot 07 .
Wed24.05.202309:00 - 12:00Sem.R. DC rot 07 Online via Zoom - siehe TISS-News
Wed31.05.202309:00 - 12:00Sem.R. DC rot 07 .
Wed07.06.202309:00 - 12:00Sem.R. DC rot 07 .
Wed14.06.202309:00 - 12:00Sem.R. DC rot 07 .
Wed21.06.202309:00 - 12:00Sem.R. DC rot 07 .
Wed28.06.202309:00 - 12:00Sem.R. DC rot 07 .

Examination modalities

Exercises and oral exam

Course registration

Begin End Deregistration end
31.12.2022 00:00 08.03.2023 23:59 30.03.2023 23:59

Curricula

Study CodeObligationSemesterPrecon.Info
066 405 Financial and Actuarial Mathematics Mandatory
860 GW Optional Courses - Technical Mathematics Not specified

Literature

No lecture notes are available.

Language

if required in English