Financial Valuation
and Risk Management (credit risk), NEKM41/TEK180
N.B.! The book is the following: Saunders,
Anthony och Linda Allen (2010): Credit Risk
Management In and Out of the Financial Crisis: New Approaches to Value at Risk and
Other Paradigms, Third Edition (Wiley Finance)
·
The main reading material
for this part of the course are my lecture
slides. They can be bought at Printcenter (in
EC1, next to the patio/ljusgården). The title of the
lecture slides is "Credit risk......." and the author is me, Hans
Byström.
·
In addition there is the book Saunders & Allen, Credit Risk Measurement In and Out of the
Financial Crisis: New Approaches to Value at Risk and Other Paradigms
(Wiley Finance). Publisher: John
Wiley & Sons; 3rd Edition (2010). All chapters except chapters 1-3 and
10-11 are core material for the course. Chapters 1-3 are probably a good read
despite the fact that the course does not focus explicitly on the crisis. The
book is not expected to be read in detail.
·
Some additional material (FT- and WSJ-newspaper articles)
will most likely be distributed in class.
·
Finally, here follows a list of links to additional compulsory reading
material:
·
Material for the computer exercise can also
be found below.
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Lecture
1
----
Lecture
2
----
Lecture
3
Moodys’:
Default and Recovery Rates of Corporate Bond Issuers, 1970-2001
http://www.moodyskmv.com/research/whitepaper/02defstudy.pdf pages 1-32
Moodys’:
Corporate Default and Recovery Rates, 1920-2008
The BIS in Profile
http://www.bis.org/about/profile.pdf
History
of the
http://www.moodyskmv.com/newsevents/mc/mc04152004_econ2.html
Lecture
4
CreditMetrics Technical Document
http://www.defaultrisk.com/_pdf6j4/creditmetrics_techdoc.pdf pages i-vi and pages
1-21
Lecture
5
Modeling Default Risk:
Modeling Methodology
http://www.moodyskmv.com/research/whitepaper/ModelingDefaultRisk.pdf
Lecture
6
An article about iTraxx CDS indexes
Credit default swaps
and equity prices: the iTraxx CDS index market
An article about
Microfinance CDOs
The microfinance collateralized debt obligation: a moderns Robin Hood?
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There is a compulsory computer exercise
for this part of the course. Here are some files that we use for the computer
exercise (laboration).
N.B., this year, 2011, the report for the computer
exercise should be handed in before 16.00 Monday March 14!