=====Course unit: Credit risk=====

  * Title in French: Risque de crédit 
  * Course code: tba
  * ECTS credits: 1
  * Teaching hours: 25h
  * Type: elective course
  * Language of instruction: English
  * Coordinator: Renaud Bourlès
  * Instructor(s): Bolanjiva Randrianarizafy (Natixis)

**Brief description**

This course is an elective course and is aimed at understanding the notion of credit risk and its role in banking regulation.

**Learning outcomes**
  * Provide a panorama on banking regulation
  * Understand most basic financial instruments (loans, securitization, bonds etc.)

**Course content**
  - Introduction: bonds and OTC transactions
  - Modeling defaults: structural models and ratings
  - Structured financing: plain-vanilla, asset financing, securitization etc.
  - Banking regulation on credit risk

**Bibliography**
  * BRUYERE R., CONT R., FERY L., JAECK C. and SPITZ T.  (2005) : Credit derivatives, Wiley.
  * GOURIEROUX C.  et  TIOMO, A. (2007) : Risque de crédit: une approche avancée, Economica.
  * MERTON R. (1998) : Continuous time finance,  Blackwell Publishers.
  * SCHONBUCHER P. (2002)  : Credit derivatives pricing models, Wiley.