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Stefano Herzel

Credit Risk Models 6 Credits , Spring 2015. Stefano Herzel. Credit Risk Models. 6 CFU, Spring 2015 How to model the credit risk How to evaluate bonds subject to the risk of default Structural models Reduced form models Prerequisite: Asset Pricing !. Grade Assessment.

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Stefano Herzel

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  1. Credit RiskModels 6 Credits, Spring 2015 Stefano Herzel

  2. Credit Risk Models • 6 CFU, Spring 2015 • How to model the credit risk • How to evaluate bonds subject to the risk of default • Structural models • Reduced form models • Prerequisite: Asset Pricing !

  3. Grade Assessment • Class Participation (20%) • Project (40%) • Written Exam (40%)

  4. General information • Stefano Herzel- Dep. Economics and Finance • Stefano.herzel@uniroma2.it • 06-7259 5946 • Office: build. A, 35, 1st floor

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