Seminar in Quantitative Finance - Block Seminar on Credit Risk

The Chair of Quantitative Finance offers a block seminar on Credit Risk in the summer term 2024. The course focuses on modelling and measuring portfolio credit risk and on pricing certain credit derivatives. Topics include firm value models, factor models, hazard rate models, valuation of credit default swaps, securitization, asset backed securities, value-at-risk and expected shortfall, coherent risk measures, pricing of collateralized debt obligations as well as regulatory models for portfolio credit risk such as the internal ratings-based approach.

Introduction and Assignment of topics:

Monday, April 15th, 2024 at 9am - 12pm in the lecture hall 1132 KG I

• Principles of Finance
• Futures and Options
   

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Since the number of participants is limited, applications can be submitted here until March 31st, 2024. Requirements for participation are successful participation in the courses Principles of Finance and Futures and Options.

Please send us the following application documents and information:

• Course of Study
• Current Semester
• Matriculation Number
• Current Transcript
• CV
   

6 ECTS points based on the presentation and a seminar paper to be submitted until June 30th. For particular topics the students will be allowed to work in groups (2-3 students). The course can be dropped without penalty until two weeks before the presentation. Thereafter withdrawal will count as a failed examination attempt!

Grades are based on the presentation and subsequent discussion (60%), on the submitted seminar paper (20%), and on active participation during the course (20%).

Course materials will be available on ILIAS. The password necessary to register for the course on ILIAS will be announced in the first lecture!

The seminar can be credited as follows:

• M.Sc. Economics in the profile "Finance";
• M.Sc. VWL laut PO 2014 in "Accounting, Finance, and Taxation"
• In B.Sc. Mathematics as "Mathematical Seminar", in M.Sc. Mathematics as "Seminar A/B", and in M.Ed. Mathematics as "Mathematische Ergänzung"
  
   

• Bielecki, T., & Rutkowski, M. (2002). Credit Risk: Modeling, Valuation and Hedging. Springer.
• Bluhm, C., Overbeck, L., & Wagner, C. (2010). Introduction to Credit Risk Modeling (2nd ed.). Chaman & Hall/CRC.
• Frey, R., McNeil, A. J., & Embrechts, P. (2015) Quantitative Risk Management - Concepts, Techniques and Tools (revised edition)
• Gordy (1998), A Comparative Anatomy of Credit Risk Models
• Gundlach, M., & Lehrbass, F. (2003). CreditRisk+ in the Banking Industry. Springer.
• Lando, D. (2004) Credit Risk Modeling. Princeton University Press.
• Perraudin, W. (2004) Structured Credit Products: Pricing, Rating, Risk Management and Basel II. Risk Books.
• Pykhtin, M. (2004). Multi-factor Adjustment. Risk Magazine.