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Event

Credit Risk [WS192530565]

Type
lecture/exercise (VÜ)
Term
WS 19/20
SWS
3
Language
Deutsch
Appointments
0
Links
ILIAS

Lecturers

Organisation

  • Financial Engineering und Derivate

Part of

Literature

  • Lando, D., Credit risk modeling: Theory and Applications, Princeton Univ. Press, (2004).
  • Uhrig-Homburg, M., Fremdkapitalkosten, Bonitätsrisiken und optimale Kapitalstruktur, Beiträge zur betriebswirtschaftlichen Forschung 92, Gabler Verlag, (2001).

Weiterführende Literatur:

  • Bluhm, C., Overbeck, L., Wagner, C. , Introduction to Credit Risk Modelling, 2nd Edition, Chapman & Hall, CRC Financial Mathematics Series, (2010).
  • Duffie, D., Singleton, K.J., Credit Risk: Pricing, Measurement and Management, Princeton Series of Finance, Prentice Hall, (2003).

Note

The lecture deals with the diverse issues arising in the context of measuring and controlling credit risk. At first, the theoretical and empirical relations between ratings, probabilities of default, and credit spreads are analysed. After that, the focus is on the valuation of credit risk. Finally, the management of credit risk, e.g. using credit derivatives and credit portfolio analysis, is examined, and the legal framework and its implications are discussed. 

The objective of this course is to become familiar with the credit markets and the credit risk indicators like ratings, default probabilities and credit spreads. The students learn about the components of credit risk (e.g. default time and default rate) and quantify these in different theoretical models to price credit derivatives.

The total workload for this course is approximately 135.0 hours. For further information see German version.

The assessment consists of a written exam following §4, Abs. 2, 1.

  • Lando, D., Credit risk modeling: Theory and Applications, Princeton Univ. Press, (2004).
  • Uhrig-Homburg, M., Fremdkapitalkosten, Bonitätsrisiken und optimale Kapitalstruktur, Beiträge zur betriebswirtschaftlichen Forschung 92, Gabler Verlag, (2001).

Elective literature:

  • Bluhm, C., Overbeck, L., Wagner, C. , Introduction to Credit Risk Modelling, 2nd Edition, Chapman & Hall, CRC Financial Mathematics Series, (2010).
  • Duffie, D., Singleton, K.J., Credit Risk: Pricing, Measurement and Management, Princeton Series of Finance, Prentice Hall, (2003).