- Department: Mathematics
- Module co-ordinator: Prof. Zdzislaw Brzezniak
- Credit value: 10 credits
- Credit level: M
- Academic year of delivery: 2022-23
- See module specification for other years: 2021-22
Pre-requisite modules
- None
Co-requisite modules
Prohibited combinations
- None
Occurrence | Teaching period |
---|---|
A | Spring Term 2022-23 |
The module aims to acquaint students with modern mathematical theory of credit risk and make them aware of its important applications in post-credit crisis financial markets.
The module will focus on the two mainstream modelling approaches to credit risk, namely structural models (Merton, barrier) and reduced form models, and pricing selected credit risk derivatives.
At the end of the module you should be able to...
Academic and graduate skills
Syllabus:
· Merton’s structural model
· Barrier model
· Hazard function model and no arbitrage
· Defaultable bond pricing with hazard function
· Pricing of securities with hazard function
· Hazard process model
· Pricing of defaultable securities within the hazard process model
Task | Length | % of module mark |
---|---|---|
Closed/in-person Exam (Centrally scheduled) Credit Risk |
2 hours | 100 |
None
Task | Length | % of module mark |
---|---|---|
Closed/in-person Exam (Centrally scheduled) Credit Risk |
2 hours | 100 |
Current Department policy on feedback is available in the student handbook. Coursework and examinations will be marked and returned in accordance with this policy.
M.Capinski and T. Zastawniak: Credit Risk, Mastering Mathematical Finance Series, Cambridge University Press, 2015 (to appear