37004 Interest Rates and Credit Risk Models8cp
Requisite(s): 24 credit points of completed study in spk(s): STM91543 Core Subjects (Mathematics)
These requisites may not apply to students in certain courses. See access conditions.
Anti-requisite(s): 25872 Interest Rates and Credit Risk Models
This subject focuses on topics of interest rate theory and credit risk modelling and emphasises their analogies. The aim of this subject is for students to obtain a thorough working knowledge of models for interest rate and credit risk, their practical implementation and calibration to market data, their underlying assumptions and limitations, as well as applying the mathematical techniques underpinning the models.The material covers the following major topics: products of fixed-income markets, short-rate models, forward-rate and LIBOR market models, financial instruments in credit risk management. In the framework of Models of default, the advantages and shortcomings of synthetic credit-linked instruments are discussed. Furthermore, the dependence structure of default events and default contagion and its role in the the global financial crisis, is treated.
Detailed subject description.