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401-4916-00L 4 Credits BSC , DR , MSC , NDS D-USYS , D-MTEC , D-BAUG , D-MAVT , D-INFK , D-MATH , D-BIOL , D-ERDW , D-GESS , D-ITET , D-CHAB

Term Structure and Credit Risk Models

Lecturers & Examiners: Prof. Dr. Martin Schweizer
VVZ CR n/a

Last Updated: 2026-02-05 15:29:50

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.

Objective

The aim of this course is to provide an introduction to the mathematical modelling of interest rates and credit risk, and the pricing of fixed-income and credit derivatives.

Content

- Term Structure Modelling: Fixed-income instruments, short rate models, affine term structures, the Heath-Jarrow-Morton approach, Libor market models, change of numeraire, forward measures, fixed-income derivatives pricing - Credit Risk Modelling: Credit-risky financial assets, intensity-based pricing models, Cox-processes, dependent defaults, portfolio credit risk modelling

Resources

Lecture Notes

Details will be announced in the course.

Literature

- M. Ammann, Pricing Derivative - Credit Risk. Lecture Notes in Economics and Mathematical Systems, 470, Springer - T. R. Bielecki and M. Rutkowski, Credit Risk: Modelling, Valuation and Hedging, Springer - T. Björk, Arbitrage Theory in Continuous Time, Second Edition, Oxford University Press - D. Brigo and F. Mercurio, Interest Rate Models. Theory & Practice, Second Edition, Springer - P. J. Schönbucher, Credit Derivatives Pricing Models, Wiley - M. Musiela and M. Rutkowski, Martingale Methods in Finance, Second Edition, Springer

General Information

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

Examination

Type
session examination
Mode
written 120 minutes
Aids
ohne Hilfsmittel / no aids
Diese Lerneinheit wird nur in der Prüfungssession Sommer 2008 geprüft. / Examination only in the Summer 2008 Examination Session.

Course Components

Type Title Time & Place Hours
lecture Term Structure and Credit Risk Models
  • Tue 13:15-15:00 (HG E 3)
2 h weekly

Offered In