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