ETH :: D-MATH :: Seminar über Versicherungs- und Finanzmathematik

Quantitative credit risk models have received an increasing attention since Basel II and the development of credit derivatives. The seminar is intended to give a broad review of the recent methodologies for the valuation of credit risk: structural versus intensity-based approaches, modeling of dependent defaults and migrations, defaultable term structure, copula-based models. For each model, the mathematical tools will be described in detail: the theory of martingale, point processes, Markov chains, copula functions.

Literature

Bielecki, T., M. Jeanblanc and M. Rutkowski (2004): Modeling and Valuation of Credit Risk, In: Stochastic Methods in Finance, Springer Lecture Notes in Mathematics, pp.27-126.
Jeanblanc, M. and M. Rutkowski (2000): Modeling of Default Risk: An Overview, In: Mathematical Finance: Theory and Practice, Beijing, pp. 171-269.
Elliott, R.J., Jeanblanc, M. and M. Yor (2000): On models of default risk, Mathematical Finance, 10, pp. 179-195.

Key words

Credit risk, credit derivatives, structural approach, intensity models, credit migrations, copula approach.

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