Credit-Equity Modeling

What it is about

You will learn models for credit and equity risks and deepen the fundamentals of Credit-Equity modeling. At the end you will be able to apply theoretical models (e.g., defaultable Markov-diffusion processes, reduced-form and firm-value models) and numerically value derivative products such as convertible bonds within these models.

What you will be able to do

• Apply theoretical foundations of Credit-Equity models
• Modeling with defaultable Markov-diffusion processes
• Understand reduced-form and firm-value approaches
• Numerical valuation of derivatives (e.g., Convertible Bonds)

What the module consists of

• LecturesConveying the theory using slides andblackboard demonstrations with proofs
• TutorialTheoretical and computer-oriented exercises for deepening and simulation

Teaching method

• Lecture with blackboard and slidesPresentation of theory and derivations; proofs are shown on the board
• Exercises (theoretical)Working on problems under supervision to deepen understanding, partly in groups
• Exercises (computer-oriented)Simulation of price processes and numerical valuation of derivatives