37281 - Credit Derivatives

Course Unit Page

Academic Year 2018/2019

Learning outcomes

At the end of the course the student knows how to transfer credit risk by means of swap arrangements (asset swaps and TRORS), and with credit derivatives. The student knows the analysis developed both on a single name basis (CDS) and on a multiname basis (CDO, CDX, iTraxx). The analysis is extended to large CDO, ABS and ABX.

Course contents

1. Single name credit derivatives: ASW and CDS.

2. Single name credit models: structural and intensity-based models

3. Multi-name credit derivatives: credit indexes, first to defualt swaps.

4. Multi-name credit models: Marshall-Olkin models and copula functions

5. Securitization: CDOs, iTraxx, CDX, ABS

6. Counter party risk: from OTC markets to central clearing

Readings/Bibliography


  1. U. Cherubini and G. Della Lunga, Structured Finance: The Objected Oriented Approach, Wiley Finance, Chichester, 2007
  2. D. Duffie and K. Singleton: Credit Risk,: Pricing, Measurement and Management, Princeton University Press, 2003
  3. D. Lando: Credit Rsik Modeling: Theory and Applications. Princeton Series in Finance

Teaching methods

Classroom lectures.

Assessment methods

The student will be required to write a term paper, either theoretical or empirical, on a topic connected to the course.

The assessment will consist of an oral defense of the term paper and of the main concepts developed in the course.

Teaching tools

Case analyse. Computer exercises.

Office hours

See the website of Umberto Cherubini