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401-4916-00L 7 Credits BSC , DR , NDS , MSC D-USYS , D-MAVT , D-MTEC , D-MATH , D-BIOL , D-ARCH , D-BAUG , D-PHYS , D-GESS , D-CHAB
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Term Structure and Credit Risk Models

Lecturers & Examiners: Prof. Dr. Philipp Schönbucher
VVZ CR n/a

Last Updated: 2026-02-05 15:19:32

Abstract

This lecture covers the mathematical modelling of interest-rate and credit risks and the application of quantitative models to the pricing of interest-rate and credit derivatives

General Information

Language
English
Levels
BSC , DR , NDS , MSC
Frequency
Yearly recurring

Examination

Type
session examination
Mode
oral 20 minutes

Course Components

Type Title Time & Place Hours
lecture Term Structure and Credit Risk Models
(sometimes Tue 15-17 by special arrangement)
  • Tue 15:15-16:00 (HG D 1.1)
  • Wed 15:15-17:00 (HG D 1.1)
3 h weekly

Offered In