37281 - CREDIT DERIVATIVES

Scheda insegnamento

Anno Accademico 2018/2019

Conoscenze e abilità da conseguire

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.

Programma/Contenuti

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

Testi/Bibliografia


  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

Metodi didattici

Classroom lectures.

Modalità di verifica dell'apprendimento

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.

Strumenti a supporto della didattica

Case analyses. Computer exercises.

Orario di ricevimento

Consulta il sito web di Umberto Cherubini