Interest Rate Theory and Credit Risk

 

Course outline
Lecture note


















 

 

Homework set






 

Topic One  Bonds: Basic structures and analytics  derivatives
  Embedded features in bonds
Interest rate risk and immunization
Topic Two Structural models
  Merton's firm value model
Extensions of the structural approach to the pricing of risky debts
Counterparty risks of swaps

Industrial implementation: KMV model
Debt negotiation models and optimal capital structure
Default correlations using structural approach
Topic Three Bonds: Basic structures and analytics  derivatives
  Merton's firm value model
Extensions of the structural approach to the pricing of risky debts
Counterparty risks of swaps

Industrial implementation: KMV model
Debt negotiation models and optimal capital structure
Default correlations using structural approach
Topic Four  Bonds: Basic structures and analytics  derivatives
  Merton's firm value model
Extensions of the structural approach to the pricing of risky debts
Counterparty risks of swaps

Industrial implementation: KMV model
Debt negotiation models and optimal capital structure
Default correlations using structural approach
Topic Five  Bonds: Basic structures and analytics  derivatives
  Merton's firm value model
Extensions of the structural approach to the pricing of risky debts
Counterparty risks of swaps

Industrial implementation: KMV model
Debt negotiation models and optimal capital structure
Default correlations using structural approach
  Merton's firm value model
Extensions of the structural approach to the pricing of risky debts
Counterparty risks of swaps

Industrial implementation: KMV model
Debt negotiation models and optimal capital structure
Default correlations using structural approach


 
Mathematical preliminaries for the construction of intensity processes
Pricing of defaultable claims using the intensity approach
Default correlation - binomial models

Copula approach for modeling default dependency
   

                  

Examination