Credit Risk

Lecture

taught by Prof. Dr. E. Lütkebohmert-Holtz

  • Mondays, 14:00-16:00, HS 1221, KG I

 

The lecture starts on Monday, October 19, 2015.


Credit risk represents by far the biggest risk in the activities of a traditional bank. In the last two decades, a multitude of credit-linked derivatives has been developed to manage and transfer credit risks in an efficient and standardized way. These allowbanks to shape their risk profile according to regulatory standards.

In this lecture, we introduce some of the most popular single name- and portfolio credit models and show how these are used to quantify credit risk and to price credit derivatives like credit default swaps (CDS), basket default swaps and collateralized debt obligations (CDO).
 

The course accounts for 6 ECTS based on a 120 min. written exam.

 

Tutorial

taught by Prof. Dr. E. Lütkebohmert-Holtz

  • Tuesdays, 14:00-16:00, HS 2121, KG II
  • The tutorial begins in the second week of the term on Tuesday, October 27, 2015.

 

Course materials (lecture slides, exercise sheets etc.) will be available on the learning management system ILIAS of the university. The link below directly leads to the ILIAS site of the lecture: Credit Risk on ILIAS

The password necessary to register for the course on ILIAS will be given in the first lecture!

 

Exam

The first exam has been marked, the grades are entered into the campus management system (LSF).

The post exam review is scheduled for April 5, 2016, from 11.00 - 12.00 in the office of Prof. Dr. Lütkebohmert-Holtz (KG II, room 2.314).

The retake exam will take place on Tuesday, June 7, from 12:00 - 14:00 in HS 1098, KG I.

For details on the registration and the registration period for the first exam, please also look at the websites of the examination offices of Economics and Mathematics for further information!

 

The lecture is open for M.Sc. Economics, M.Sc. Mathematics, M.Sc. VWL and diploma students in their advanced study period.

In M.Sc. Economics, the course can be credited in the profile "Finance".

In M.Sc. Mathematics, the course can be credited for the special profile "Finanzmathematik"  as a specialization in economics or as an elective (Wahlmodul).

In M.Sc. VWL, the course can be credited for

  • Finanzwissenschaft (examination regulations from 2011)
  • Accounting, Finance, and Taxation (new examination regulations, valid from winter term 2014/15 onwards)

 

For more detailed information, please click here.

 

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