MATH685R Credit risk: Models, pricing and implementation

Course Outline

 
Lecture Note

 

 

 

 

 

 

 

 

 


 

Homework set

 

 

 

 

 
Topic One Nature of credit risk and credit derivatives
  Default risk and spread risk
  Product nature of credit derivatives
  Bond price based and hedge based pricing of credit derivatives
Topic Two Structural models
  Merton's firm value model
  Extensions of the structural approach to the pricing of risky debts
  Counterparty risks of swaps
  Industrial implementation: KMV model
  Debt negotiation models and optimal capital structure
  Default correlations using structural approach
Topic Three Mathematical preliminaries for the construction of intensity processes
  Pricing of defaultable claims using the intensity approach
  Default correlation - binomial models
  Copula approach for modeling default dependency

 

HW1 Assignment 1
HW2 Assignment 2
HW3  
HW4