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.