Seminar in Quantitative Finance  Block Seminar on Credit Risk
Seminar
Taught by Prof. Dr. Eva LütkebohmertHoltz, Dr. Zhuoshu Wu
Content  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, valueatrisk and expected shortfall, coherent risk measures, pricing of collateralized debt obligations as well as regulatory models for portfolio credit risk such as the internal ratingsbased approach.
 
Dates 
 
First Meeting  Introduction and Assignment of topics: Monday, April 15th, 2024 at 9am  12pm in the lecture hall 1132 KG I
 
Language  Englisch  
Prerequisites  
ECTS  6
 
Bewerbung & Registrierung  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:
 
Examination  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 (23 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%).  
ILIAS  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 book "Quantitative Risk Managements  Concepts, Techniques, and Tools" by A. McNeil, R. Frey, and P. Embrechts (2015, revised edition) is available in the libraries in limited numbers.
 
Credit  The seminar can be credited as follows:
 
Literature 
