Credit Risk and Interest Rate Modeling

This course presents the fundamentals of credit risk and interest rate modelling in a unified framework. Topics to be covered include: definitions of coupons and interest rates and review of no-arbitrage pricing; short rate models; the Heath-Jarrow-Morton framework; positive interest rates; basic and exotic interest rate derivatives; credit spread and corporate bond prices; intensity based models; credit rating models, firm value models; default correlation; credit derivatives; calibration and practical examples of derivative pricing.

Lecture notes are available here.

Assignments

• Assignment 1, due on Monday, 07/02/2005.

• Assignment 2, due on Monday, 07/03/2005.

Projects

These were the final projects presented by students taking the course for credit. Click on the titles to see submitted written versions.

• Term Structure of Credit Spreads, by Lingling Wang.

• Implementing BGM, by Raphael Yan.

• Multifactor CIR Model, by Mengmeng Ma.

• A Comparison of Forward Default Rates for Mean-Reverting-Jumps and CIR Affine Models, by William Sajko.

• Derivation of the Price of Bond in the Recovery of Market Value Model, by YanFei Gao.

• Valuation in Discrete – Time Recovery, by Li Yang.

• Comparing the Recovery Models, by Rong Yang.

• Pricing Sovereign Bonds, by Di Miao.
  

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