Term Stucture and Credit Risk Models

Lecturers:	Prof. Dr. Freddy Delbaen Prof. Dr. Uwe Schmock Prof. Dr. Philipp Schönbucher
Location:	ETHZ, HG D1.1
Time:	Tuesday 15 - 17, Wednesday 16 - 17
First lecture:	April 1, 2003
Language:	English

Topics:

Fixed income securities
Interest rate models in continuous time
- Short rate models (Vasicek, Cox-Ingersoll-Ross, Hull-White)
- Forward rate models (Heath-Jarrow-Morton)
Credit risk models
- Firm-value (or structural) models
- Intensity-based (or reduced-form) models
- Latent variable models
- Mixtures models
Dependence modelling with copulas

Grades:

Grades are based on a written examination. It takes place on Friday, 25th July 2003, from 10.15 to 11.45 am in ETH main building, lecture theatre HG F 26.3. You need to bring a pen and some paper.

Students who will take the oral exam on the 21st of July instead have to write an email to Prof. Dr. Philipp Schönbucher so that he can plan the times. Note: The oral exam is an exception for those participants who cannot be in Zurich on the 25th. Everybody else should take the written exam.

Links to: Courses and Seminars, Finance and Insurance, RiskLab, MAS Finance

Please send comments and suggestions to Uwe Schmock, email: schmock@math.ethz.ch. Last update: July 3, 2003