Department of Mathematics

Seminar über Versicherungs- und Finanzmathematik: Modeling and Valuation of Credit Risk

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Prof. Freddy Delbaen & Dr. Delia Coculescu
Place HG E1.1
Time Mondays 10:15-12:00
First meeting
Monday 30.10.2006

The seminar will be held in English.

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.
  1. 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.
  2. Jeanblanc, M. and M. Rutkowski (2000): Modeling of Default Risk: An Overview, In: Mathematical Finance: Theory and Practice, Beijing, pp. 171-269.
  3. 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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