Interest rates and credit risk

January 6 - March 25, 2010, The Fields Institute

Location: Fields Institute

Description

Instructor: Tom Hurd (Lectures Notes) Structural Modes of Credit Risk

Course starts on January 6th and will meet weekly on Wednesdays from 1:30 to 4:15 for roughly 13 weeks until the end of March.

Assignment #1 - Solutions

Assign ment #2 - Solutions

Assignment #3 - Solutions

MIDTERM: (SOLUTIONS)
March 3, 2010
1:30 - 3:30 pm
3rd floor Stewart Library

Spot rate models
Heath-Jarrow-Morton theory
Libor market models
Structural credit risk models
Reduced form credit risk models
Multifirm default and correlation modeling
Basket credit derivatives

Schedule

Wednesday, January 6th, 2010
13:30 to 16:15	Structural Modes of Credit Risk Thomas Hurd, McMaster University and The Fields Institute Location:

Wednesday, January 13th, 2010
13:30 to 16:15	No Title Specified Thomas Hurd, McMaster University and The Fields Institute Location:

Tuesday, January 19th, 2010
13:30 to 16:15	An Introduction to Interest Rate Theory Tomas Bjork Location:Fields Institute, Room 230

Wednesday, January 20th, 2010
13:30 to 16:15	An Introduction to Interest Rate Theory Tomas Bjork Location:Fields Institute, Room 230

Thursday, January 21st, 2010
13:30 to 16:15	An Introduction to Interest Rate Theory Tomas Bjork Location:Fields Institute, Room 230

Wednesday, January 27th, 2010
13:30 to 16:15	No Title Specified Thomas Hurd, McMaster University and The Fields Institute Location:

Wednesday, February 3rd, 2010
13:30 to 16:15	No Title Specified Thomas Hurd, McMaster University and The Fields Institute Location:

Wednesday, February 10th, 2010
13:30 to 16:15	No Title Specified Thomas Hurd, McMaster University and The Fields Institute Location:

Wednesday, February 17th, 2010
13:30 to 16:15	No Title Specified Thomas Hurd, McMaster University and The Fields Institute Location:

Wednesday, February 24th, 2010
13:30 to 16:15	No Title Specified Thomas Hurd, McMaster University and The Fields Institute Location:

Wednesday, March 3rd, 2010
13:30 to 16:15	No Title Specified Thomas Hurd, McMaster University and The Fields Institute Location:

Wednesday, March 10th, 2010
13:30 to 16:15	Structural Modes of Credit Risk Thomas Hurd, McMaster University and The Fields Institute Location:

Wednesday, March 17th, 2010
13:30 to 16:15	Structural Modes of Credit Risk Thomas Hurd, McMaster University and The Fields Institute Location:

Thursday, March 25th, 2010
09:30 to 12:15	Portfolio Credit Risk Kay Giesecke, Infima Technologies and Stanford University Location:
13:30 to 16:15	Portfolio Credit Risk Kay Giesecke, Infima Technologies and Stanford University Location:

The Fields Institute for
Research in Mathematical Sciences

Interest rates and credit risk

Description

Instructor: Tom Hurd (Lectures Notes) Structural Modes of Credit Risk

Schedule

Scheduled as part of

People and Contacts

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