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| Version 2013-2014 |
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| FINA0075-1 | Credit Risk
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| Duration : | 30h Th |
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| Number of credits : |
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| Lecturer : | Pascal François |
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Language(s) of instruction :
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| English language |
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Course contents :
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| Course description
This advanced course provides a state-of-the-art review of the research on credit risk modeling and measurement in finance.
In its introductory part, the course reviews the key concepts, lists and decribes the major classes of credit risky instruments, and discusses the role of default risk in derivatives instruments.
The main part of the course splits the review of structural models of credit risk, statistical techniques of default spreads and ratings, and the reduced-form approach. For each part, the instructors will follow a reference research-based textbook, review the latest literature and present their ongoing research agendas.
A term paper, consisting of the critical review of a relevant research question with available market data treatment and analysis, will be the basis for the individual assessment.
Table of contents
1 Introduction to credit risk
2 Review of structural models
3 Statistical techniques for analyzing default
4 The reduced-form approach
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Learning outcomes of the course :
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| The doctoral student will be able to:
- Knowledge: Understand, master and compare the main theories relating to their area of research;
- Knowledge: Understand, master and compare different research methodologies used in the management sciences, both qualitative and quantitative;
- Specific Skills: Make appropriate use of the different theories;
- Transversal Skills: Communicate and argue in written form
- Attitudes: Demonstrate critical thinking
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Prerequisites and co-requisites/ Recommended optional programme components :
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| A course of Quantitative Research Methods and/or a strong statistics and probability background is a prerequisite |
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Planned learning activities and teaching methods :
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| Four intensive lectures with two or three specialized researchers
Redaction of a term paper using a list of relevant references and access to a data set |
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Mode of delivery (face-to-face ; distance-learning) :
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| Face-to-face |
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Recommended or required readings :
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| Books
1. Amman, M., 2002, Credit risk valuation : Methods, models, and applications, Springer.
2. Bielecki, T. and M. Rutkowski, 2002, Credit risk: Modeling, valuation and hedging, Springer.
3. Duffie, D. and K. Singleton, 2004, Credit risk: Pricing, measurement, and management, Princeton Series in Finance.
4. Garbade, K., 2001, Pricing corporate securities as contingent claims, MIT Press.
5. Lando, D., 2004, Credit risk modeling: Theory and applications, Princeton Series in Finance
A selection of recent research articles
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Assessment methods and criteria :
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| Individual assessement (graded on 20) on the basis of a term paper:
- critical use of the literature
- quality of the treatment of data
- interpretation of results
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Work placement(s) :
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Organizational remarks :
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| Intensive lectures concentrated in a small time interval (one to two weeks) - presence is heavily receommended |
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Contacts :
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| Coordinator: Georges Hübner - g.hubner@ulg.ac.be
Assistant: Thomas Bonesire - tbonesire@ulg.ac.be |
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