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+ | =====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: | ||
+ | * Coordinator: | ||
+ | * Instructor(s): | ||
+ | |||
+ | **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, | ||
+ | |||
+ | **Course content** | ||
+ | - Introduction: | ||
+ | - Modeling defaults: structural models and ratings | ||
+ | - Structured financing: plain-vanilla, | ||
+ | - Banking regulation on credit risk | ||
+ | |||
+ | **Bibliography** | ||
+ | * BRUYERE R., CONT R., FERY L., JAECK C. and SPITZ T. (2005) : Credit derivatives, | ||
+ | * GOURIEROUX C. et TIOMO, A. (2007) : Risque de crédit: une approche avancée, Economica. | ||
+ | * MERTON R. (1998) : Continuous time finance, | ||
+ | * SCHONBUCHER P. (2002) | ||