--- Credit Risk and Interest Rate Models ---

 主講人   :  張焯然 教授 (清華大學計量財務金融系)

                         Prof. Ren-Raw Chen

                          (Rutgers Business School, Rutgers University)

   Day 1

  Speaker :    張焯然 教授

   Place     :     Lecture Room A (國立清華大學綜合三館4樓）

  (I)  Topic   :     Short Course in Credit Risk (1)

        Time    :     July 28 (Wed.) 10:30~12:00

  (II) Topic   :     Short Course in Credit Risk (2)

        Time    :     July 28 (Wed.) 13:00~14:30 　

   Day 2

  Place     :     Lecture Room B (國立清華大學綜合三館4樓）

  (III) Speaker  :    張焯然 教授

     Topic      :    Short Course in Credit Risk (3)

          Time       :    Aug. 3 (Tue.) 10:30~12:00

    (IV) Speaker :    Prof. Ren-Raw Chen

           Topic     :    Extended Geske Model

           Time      :    Aug. 3 (Tue.) 13:00~14:30

   Day 3

   Speaker :    Prof. Ren-Raw Chen

   Place     :     R734(國立清華大學綜合三館7樓）

   (V)  Topic   :     Valuation of Credit Default Swaps with Correlated

                              Interest Rate and Hazard Rate Processes

           Time    :     Aug. 4 (Wed.) 10:30~12:00

  (VI) Topic   :     Modeling Large Credit Portfolio with Fast Fourier

                             Transform

           Time    :     Aug. 4 (Wed.) 13:00~14:30　

Short Courses in Credit Risk (1) (2) (3)

Content:

    This course introduces the measurement of credit risk and the pricing of defaultable bonds, credit derivatives, and other securities exposed to credit risk. In the first section, we will define credit risk and discuss theoretical model for default and credit risk (structural model, reduced form model, and ratings transition). In the second section, we will use the theoretical model to price zero coupon bonds in different situations (zero-recovery bond pricing and pricing with recovery at default). In the third section, we will cover credit derivatives (credit swap, optional credit pricing, and collateralized debt obligations).

Outlines of this course:

I. Introduction to credit risk

 a. Economic Principles of Risk Management

 b. Default Arrival: Historical Patterns and Statistical Models

 c. Ratings Transitions

II. Valuation of credit risk

 a. Conceptual Approaches to Valuation of Default Risk

 b. Pricing Corporate and Sovereign Bonds

 c. Empirical Models of Defaultable Bond Spreads

III. Credit derivatives

 a. Credit Swaps

 b. Optional Credit Pricing

 c. Correlated Defaults d. Collateralized Debt Obligations

Reference: Saunders, A. and L. Allen (2002). Credit Risk   

                  Measurement: New Approaches to Value at Risk and

                  Other Paradigms. Wily.

                  Duffie, D. and K. Singleton (2003). Credit Risk: Pricing,

                 Measurement, and Management. Princeton University Pres