Accessibility statement

Credit Risk - MAT00067M

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  • Department: Mathematics
  • Module co-ordinator: Prof. Zdzislaw Brzezniak
  • Credit value: 10 credits
  • Credit level: M
  • Academic year of delivery: 2017-18

Module will run

Occurrence Teaching cycle
A Spring Term 2017-18

Module aims

The module aims to acquaint students with modern mathematical theory of credit risk and make them aware of is important applications in post-credit crisis financial markets.

The module will focus on the two mainstream modelling approaches to credit risk, namely structural models and reduced form models, and pricing selected credit risk derivatives.

Module learning outcomes

At the end of the module you should be able to...

Understand and be able to apply Mertons structural model of credit risk.

Understand and be able to apply the barrier version of Mertons structural model of credit risk.

Understand the hazard function model in be able to characterise the lack of arbitrage in such a model

Be able to price a defaultable securities such as defaultable bonds and credit default swaps (CDS) within the hazard function model

Understand the hazard process model and the role of risk-neutral probability in this model.

Be able to price defaultable securities and to construct trading strategies within the hazard process model.

Assessment

Task Length % of module mark
University - closed examination
Credit Risk
2 hours 100

Special assessment rules

None

Reassessment

Task Length % of module mark
University - closed examination
Credit Risk
2 hours 100

Module feedback

Information currently unavailable

Indicative reading

M.Capinski and T. Zastawniak: Credit Risk, Mastering Mathematical Finance Series, Cambridge University Press, 2015 (to appear



The information on this page is indicative of the module that is currently on offer. The University is constantly exploring ways to enhance and improve its degree programmes and therefore reserves the right to make variations to the content and method of delivery of modules, and to discontinue modules, if such action is reasonably considered to be necessary by the University. Where appropriate, the University will notify and consult with affected students in advance about any changes that are required in line with the University's policy on the Approval of Modifications to Existing Taught Programmes of Study.