Mini-course: Introduction to Credit Risk. VIASM: 30/3 – 6/4, 2015

Mini-course: Introduction to Credit Risk. VIASM: 30/3 – 6/4, 2015

Time: 9:00 – 11:15 and 14:00 – 16:15, March 30 – April 6, 2015


Location: VIASM Lecture Hall.


Lecturer: Nicole EL KAROUI (Université Pierre et Marie Curie) and Monique Jeanblanc (Université d’Evry Val D’Essonne)


Abstract and Program


The lecture present the basic framework of Credit Risk


In a first part, we present various models for the case of a single default, in particular the structural approach, the intensity based model, the density model and the general case. We explain the links between these approaches and show how to compute prices of defaultable claims. We use integration with respect to a single jump process and recall how to use this simple tool.


The second part is devoted to the multidefault case. We recall some basic facts on marked point processes and make use of this methodology. We then present copula and dynamic copulae


Schedule


– Morning 30/3 from 9.00 to 11.15 (tea-break 15 minutes from 10.00 to 10.15) am
Lecturer: Prof Nicole


– Afternoon 30/3 from 14.00 to 16.15 (tea-break 15 minutes from 15.00 to 15.15)
Lecturer: Prof Monique


– Morning 01/4 from 9.00 to 11.15 (tea-break 15 minutes from 10.00 to 10.15) am
Lecturer: Prof Monique


– Afternoon 01/4 from 14.00 to 16.15 (tea-break 15 minutes from 15.00 to 15.15)
Lecturer: Prof Nicole


– Morning 02/4 from 9.00 to 11.15 round table to discuss “How to apply mathematics into economy, finance and banking”
Chairs: professors Nicole, Monique and prof Cấn Văn Lực (BIDV)


– Morning 06/4 from 9.00 to 11.15 (tea-break 15 minutes from 10.00 to 10.15) am
Lecturer: Prof Monique


– Afternoon 06/4 from 14.00 to 16.15 (tea-break 15 minutes from 15.00 to 15.15)
Lecturer: Prof Nicole


Download lectures:

Lecture of Prof. Monique Jeanblanc

Lecture of Prof. Nicole EL KAROUI

 


Registration:

Deadline for registration: 27/3/2015 : http://viasm.edu.vn/hdkh/mini-course-introduction-to-credit-risk?userkey=mini-course-introduction-to-credit-risk

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