We give an introduction to credit risk from a point process perspective. Topics include transform analysis, Monte Carlo sampling, rare-event simulation, asymptotic approximation, and statistical estimation. We cover single name and portfolio credit risk, and treat risk management and derivatives valuation and hedging problems. Data-driven examples are developed.
A mini-course of three seminars over three consecutive days:
Wednesday 21st November 2012 (09:45 for 10:00 start -10:50 followed by a 30 minute discussion with refreshments 10:50-11:20);
Thursday 22nd November 2012 (09:45 for 10:00 start -10:50 followed by a 30 minute discussion with refreshments 10:50-11:20) and
Friday 23rd November 2012 (09:45 for 10:00 start -10:50 followed by a 30 minute discussion with refreshments 10:50-11:20).