Time: 9:00 – 11:15 and 14:00 – 16:15, March 30 – April 6, 2015

Location: VIASM Lecture Hall.

Lecturer: Nicole EL KAROUI (Université Pierre et Marie Curie) and Monique Jeanblanc (Université d’Evry Val D’Essonne)

Abstract and Program

The lectures present the basic framework of Credit Risk.

In the first part, we 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. We explain the links between these approaches and show how to compute prices of defaultable claims. We 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. We recall some basic facts on marked point processes and make use of this methodology. We then present copula and dynamic copulae

Schedule

- Morning 30/3 from 9.00 to 11.15 (tea-break 15 minutes from 10.00 to 10.15) am
Lecturer: Prof Nicole EL KAROUI

- Afternoon 30/3 from 14.00 to 16.15 (tea-break 15 minutes from 15.00 to 15.15)
Lecturer: Prof Monique Jeanblanc

- Morning 01/4 from 9.00 to 11.15 (tea-break 15 minutes from 10.00 to 10.15) am
Lecturer: Prof Monique Jeanblanc

- Afternoon 01/4 from 14.00 to 16.15 (tea-break 15 minutes from 15.00 to 15.15)
Lecturer: Prof Nicole EL KAROUI

- Morning 06/4 from 9.00 to 11.15 (tea-break 15 minutes from 10.00 to 10.15) am
Lecturer: Prof Monique Jeanblanc

- Afternoon 06/4 from 14.00 to 16.15 (tea-break 15 minutes from 15.00 to 15.15)
Lecturer: Prof Nicole EL KAROUI

Download lectures:

Lecture of Prof. Monique Jeanblanc

Lecture of Prof. Nicole EL KAROUI

Watch the lectures online:

Registration: Closed. Deadline for registration: 27/3/2015.