Course content

This course gives an in-depth review of central models of credit risk. The course will start with an introduction to stochastic modelling using Brownian motions. There will also be an introduction to numerical methods (Monte Carlo simulations)

Learning outcome

Knowledge

You learn

• Mathematical modelling of risk and numerical methods to account for risk
• what credit risk is
• what factors are relevant to determine credit risk
• how capital structure decisions and credit risk are interrelated

Skills

You should be able to

• understand and explain what risk is
• make use of models for credit risk to analyze risk
• estimate the value of credit risky assets
• use ratings to assess credit risk

General competence

You should be able to

• use advanced economic models to assess credit risk

Learning methods and activities

2 hours of lectures every week. The course has compulsory activity. Specific requirements will be announced at the beginning of the term. The term papers can be written as a joint project.

Compulsory assignments

• Compulsory aktivity

Recommended previous knowledge

IF400, IF440

Required previous knowledge

None

Course materials

Announced at the beginning of the term