- Docente: Rossella Agliardi
- Credits: 6
- SSD: SECS-S/06
- Language: English
- Teaching Mode: In-person learning (entirely or partially)
- Campus: Bologna
- Corso: Second cycle degree programme (LM) in Quantitative Finance (cod. 8854)
Course contents
Credit risk. Rating systems. Merton model (1974) and extensions. Structural approach and reduced-form approach. Credit derivatives. CDS. CDOs.
Readings/Bibliography
Textbooks and articles will be suggested during the classrooms.
Assessment methods
Written exam.
Teaching tools
The text of the lectures and a few exercises will be made available.
Office hours
See the website of Rossella Agliardi