The lectures will cover the mathematical modeling, computation, and estimation of portfolio credit risk.

Topics include: portfolio credit derivatives (index and tranche swaps), transform analysis of point processes, exact simulation methods for point processes, time changes for point processes, market conventions and model calibration, actual measure portfolio credit, maximum likelihood methods, model validation via time change. Topics are accompanied by case studies based on market and historical default data. The course will build on the material discussed in previous lectures, in particular interest rate theory.