Credit risk model

10 Dezembro 2012, 21:00 • RENATO FILIPE RIBEIRO FRANÇA

Exercises (main exercise list) 27, 30, 31, 32 and 34

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Aula 8 (18:00-20.30h)

10 Dezembro 2012, 18:00 • RAQUEL GASPAR

3. Reduced

‐ form models of Credit Risk

3.1Default Intensity

3.2 Rating Transition Intensity

3.3 Affine Intensity Models

3.4 Valuation

3.5 Credit Spreads

3.6 Calibration Issues

4. Incomplete Information Models

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Credit Risk Model

3 Dezembro 2012, 21:00 • RENATO FILIPE RIBEIRO FRANÇA

Introduction to Credit Risk models

Test solutions

Exercise 27

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Aula 7 (18.00:20.30h)

3 Dezembro 2012, 18:00 • RAQUEL GASPAR

Mini-test 2

  Part III. CREDIT RISK MODELS

1. Introduction

2. Structural Models of Credit Risk

2.1 The Classical (Merton) Approach

2.2 First- Passage Approach

2.3 Excursion Approach

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Market models of interest rate

29 Novembro 2012, 21:30 • RENATO FILIPE RIBEIRO FRANÇA

8th exercise class

Exercises 27.1 and 27.3 (Björk)

Deriving the swaption price formula

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