Credit Risk with Point Processes

We give an introduction to credit risk from a point process perspective. Topics include transform analysis, Monte Carlo sampling, rare-event simulation, asymptotic approximation, and statistical estimation. We cover single name and portfolio credit risk, and treat risk management and derivatives valuation and hedging problems. Data-driven examples are developed.

A mini-course of three seminars over three consecutive days:

Wednesday 21st November 2012 (09:45 for 10:00 start -10:50 followed by a 30 minute  discussion with refreshments 10:50-11:20);

Thursday 22nd November 2012 (09:45 for 10:00 start -10:50 followed by a 30 minute  discussion with refreshments 10:50-11:20) and

Friday 23rd November 2012 (09:45 for 10:00 start -10:50 followed by a 30 minute  discussion with refreshments 10:50-11:20).

Location:
Speaker(s):

Kay Giesecke (Stanford University)

Start date:
Wednesday, November 21, 2012 - 10:00
End date:
Friday, November 23, 2012 - 11:15