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401-4916-58L 6 Credits BSC , MSC , NDS D-MATH

Term Structure and Credit Risk Models

Lecturers & Examiners: Prof. Dr. Semen Mark Malamud
VVZ CR n/a

Last Updated: 2026-02-05 15:23:57

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.

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

- 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 - 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 - P. J. Schönbucher, Credit Derivatives Pricing Models, Wiley

General Information

Language
English
Levels
BSC , MSC , NDS
Frequency
Yearly recurring

Examination

Type
session examination
Mode
written 180 minutes
Aids
10 handgeschriebene A4-Blätter (beidseitig beschrieben)

Course Components

Type Title Time & Place Hours
lecture Term Structure and Credit Risk Models
  • Mon 13:15-14:00 (HG E 1.2)
  • Thu 10:15-12:00 (HG E 1.2)
3 h weekly

Offered In