• 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

1. Introduction: bonds and OTC transactions
2. Modeling defaults: structural models and ratings
3. Structured financing: plain-vanilla, asset financing, securitization etc.
4. 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.