Credit Default Risk

Crédit : 3 ECTS
Langue du cours : anglais

Volume horaire

  • CM : 24 h

Compétences à acquérir

  • Understanding of importance credit risk, it's occurrence and determination
  • Applicable knowledge of default models and hedging strategies

Description du contenu de l'enseignement

Planning course :
  • Introduction
- Debt Instruments
- Credit Ratings: Methodology, Rating Process, Transition Matrices
- Default Event, Legal covenants and lieu of issuance, Debt Renegotiation, Recovery Process
 
  • Credit Risk Models
- Default Probabilities and Term Structure
- Firm-value models: Merton, Leyland, Black and Scholes
- Reduced Form Models
- Hybrid Approaches
- Single and Multiple Issuer Default
- Intensity-based modelling: loss given default and recovery process
 
  • Managing Credit Risk
- Structured Products
- Current and Potential Credit Risk in Derivative Products
- Credit VaR, Stress Testing
- Hedge Fund Strategies related to Distressed Asset
 
  • Default Risk and Regulation
- Economic and Regulatory Capital
- Stress Testing

Mode de contrôle des connaissances

Un examen en fin de cours.

Pré-requis obligatoires

Knowledge of Financial Markets and Fixed Income Products.

Bibliographie, lectures recommandées

  • Default risk in bond and credit derivatives markets, Benkert, Christoph, Springer, 2004.
  • “Sovereign default risk valuation: implications of debt crises and bond restructurings”, Andritzky, Jochen, Springer, cop. 2006.
  • “The Handbook of Fixed Income Securities, 6th Edition”, Frank J. Fabozzi.
  • Counterparty credit risk : the new challenge for global financial markets, Gregory, Jon, Chichester, West Sussex, Wiley, 2010.
  • Une Histoire du Risque de Defaut, Gatfaoui Hayette.
  • Mesure et gestion du risque de crédit dans les institutions financières préface de Jean-Louis Fort.

Enseignant responsable

ULF CLERWALL



Année universitaire 2016 - 2017 - Fiche modifiée le : 28-02-2017 (14H16) - Sous réserve de modification.