Week |
Subject |
Related Preparation |
1) |
Review of financial derivatives. |
|
2) |
Financial derivatives continued. |
|
4) |
Introduction to credit risk;credit risky instruments, defaults, ratings. |
|
5) |
Default of a firm and Merton's model. |
|
6) |
Common industry models (KMV, CreditMetrics, CreditRisk+) |
|
7) |
Modelling dependence between defaults with factor models. |
|
8) |
Common industry models (KMV, CreditMetrics, CreditRisk+) continued. |
|
9) |
Mixture models of default. |
|
10) |
Calculating the portfolio credit loss distribution. |
|
11) |
Large portfolio behaviour of the credit loss distribution. |
|
12) |
Calibration and statistical inference for credit models. |
|
13) |
Introduction to credit derivatives. |
|
14) |
Credit derivatives continued. |
|
Course Notes / Textbooks: |
McNeill, A.J. and Frey, R., and Embrechts, P, (2005), Quantitative Risk Management: Conceptes, Techniques and Tools, Princeton, New Jersey.
Bluhm, C., and Overbeck, L., and Wagner, C.(2002). An Introduction to Credit Risk Modeling. Chapmanqnd Hall/CRC Financial Mathematics Series, London. |
References: |
CreditMetrics™– Technical Document, http://www.ma.hw.ac.uk/~mcneil/F79CR/CMTD1.pdf |
|
Program Outcomes |
Level of Contribution |
1) |
Ability to assimilate mathematic related concepts and associate these concepts with each other.
|
2 |
2) |
Ability to gain qualifications based on basic mathematical skills, problem solving, reasoning, association and generalization.
|
2 |
3) |
Be able to organize events, for the development of critical and creative thinking and problem solving skills, by using appropriate methods and techniques. |
|
4) |
Ability to make individual and team work on issues related to working and social life. |
2 |
5) |
Ability to transfer ideas and suggestions, related to topics about his/her field of interest, written and verball. |
|
6) |
Ability to use mathematical knowledge in technology. |
2 |
7) |
To apply mathematical principles to real world problems. |
1 |
8) |
Ability to use the approaches and knowledge of other disciplines in Mathematics. |
2 |
9) |
Be able to set up and develope a solution method for a problem in mathematics independently, be able to solve and evaluate the results and to apply them if necessary. |
3 |
10) |
To be able to link abstract thought that one has to concrete events and to transfer the solutions and examine and interpret the results scientifically by forming experiments and collecting data. |
2 |
11) |
To be able to conduct a research either as an individual or as a team member, and to be effective in each related step of the project, to take role in the decision process, to plan and manage the project by using time effectively. |
|
12) |
To be able to acquire necessary information and to make modeling in any field that mathematics is used and to improve herself/himself, |
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