course-details-portlet

FIN3501

Credit risk

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New from the academic year 2020/2021

Credits 7.5
Level Second degree level
Course start Autumn 2020
Duration 1 semester
Language of instruction Norwegian
Location Trondheim
Examination arrangement Home examination

About

About the course

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. Compulsory activity: Approved term paper(s)/ exercise(s). Specific requirements will be announced at the beginning of the term.

Compulsory assignments

  • Compulsory aktivity

Further on evaluation

4 hours written school exam.

Required previous knowledge

None

Course materials

Announced at the beginning of the term

Subject areas

  • Financial Economics
  • Economics
  • Economics and Administration

Contact information

Course coordinator

Department with academic responsibility

Department of Economics