Management of Credit Risk : Theory and applications

Ects : 6
Compétence à acquérir :
A broad knowledge in the modelisation of Credit Risk and its appliations as well as the mastering of the eventual underlying derivative products

Description du contenu de l'enseignement :
Modelisation of Credit Risk: reduced form models, structural models. Application to the valuation of credit linked securities and derivatives
Being able to use and compare the two different modeling frameworks in the field of credit risk.