Mini-course “Introduction to Credit Risk” is taking place at VIASM from 30 March, 2015 to 6 April, 2015. The lectures are taught by Professor Nicole El Karoui (Université Pierre et Marie Curie) and Professor GS Monique Jeanblanc (Université d’Evry Val D’Essonne). This aims to promote mathematical finance in Vietnam and this is also one of the first activities of Lab for Research in Applied Mathematics in Economics, Finance and Banking (FMathLab-VIASM).
As implied by the name of the course, the lectures present the basic framework of Credit Risk.
In the first part, the lecturers present various models for the case of a single default, in particular the structural approach, the intensity based model, the density model and the general case. The two professors also explain the links between these approaches and show how to compute prices of defaultable claims. They use integration with respect to a single jump process and recall how to use this simple tool.
The second part is devoted to the multidefault case. Some basic facts on marked point processes are recalled. Copula and dynamic copulae are also presented.
During their stay in Vietnam, the two professors also have discussions with VIASM, FMathLab and some comercial banks in Vietnam about teaching quantitative finance, quantitative methods for managing bank credit risk etc.
Prof. Nicole El Karoui giving the first lecture of the course.
Please visit the event website for more details about the schedule: http://viasm.edu.vn/events/mini-course-introduction-to-credit-risk-2/?instance_id&lang=vi
Prof. Nicole El Karoui is a pioneer in the development of mathematical finance. She is considered to be one of the very active mathematicians that started heavily promoting financial mathematics in France and trained many engineers and scientists to this field. She is currently professor of Applied Mathematics at the Pierre and Marie Curie University and previously at the École Polytechnique and Université du Maine (France). Her research has contributed to the application of probability and stochastic differential equations to modeling and risk management in financial markets. The reputation of Prof. El Karoui’s classes is such that Wall Street Journal opines that there may be too many of her students in important positions handling financial derivatives. In an interview with the Wall Street Journal, Rama Cont, a well-known mathematician, described a degree with Ms. El Karoui’s name on it as “the magic word that opened doors for young people.”
Prof. Monique Jeanblanc
Prof. Monique Jeanblanc is a professor of mathematics and she has had contributed in research on various topics in quantitative finance as well as mathematical economics. Her focus area in research and teaching is Credit Risk. She has given lectures in many countries on Introduction to Credit Risk. She also has lectures for PhD students on Jump processes. Prof. Monique Jeanblanc wrote certain books on mathematical finance published by Springer such as Mathematical Methods for Financial Markets, Financial Markets in Continuous Time etc.
Students can also find some useful learning materials on her webpage.