Teaching Cycle : One (for fast stream students) or two (for standard stream students) consecutive four-month online teaching periods: 1 October to 31 January and/or 15 March to 15 July; two starting dates per annum (1 October, 15 March).
Pre-requisite modules
- None
Co-requisite modules
Prohibited combinations
- None
Occurrence | Teaching period |
---|---|
A1 | Semester 1 2024-25 |
A2 | Semester 1 2024-25 to Semester 2 2024-25 |
B1 | Semester 2 2024-25 |
B2 | Semester 2 2024-25 to Summer Semester 2024-25 |
The module enables students to acquire in-depth knowledge of the main features and models of credit risk, including:
- Defaultable securities: defaultable bonds and their recovery schemes, CDS (credit default swaps), general zero-recovery and positive-recovery securities;
- Reduced-form credit risk models (the hazard function and hazard process models) and conditions for the absence of arbitrage in these models;
- Information flow and filtrations in reduced-form models;
- Martingale properties and martingale representation in reduced-form models as applied to pricing and hedging defaultable securities;
- Structural modelling of debt on the basis of company values, under default conditions.
By the end of this module students should
Be familiar with tenets of the Merton structural model and the barrier model of credit risk and able to deploy these models in company valuation under conditions of default.
Indicative Content:
Task | Length | % of module mark |
---|---|---|
Coursework - extensions not feasible/practicable Credit Risk Online Coursework |
N/A | 100 |
Oral presentation/seminar/exam Credit Risk Online Viva |
N/A | 0 |
None
Task | Length | % of module mark |
---|---|---|
Coursework - extensions not feasible/practicable Credit Risk Online Coursework |
N/A | 100 |
Oral presentation/seminar/exam Credit Risk Online Viva |
N/A | 0 |
Current Department policy on feedback is available in the student handbook. Coursework and examinations will be marked and returned in accordance with this policy.