Course: Credit Markets and Models
Instructor: Vladimir Finkelstein
Lecture 2
Default Event in a Reduced Model
One way to interpret Eqs.(1.13) and (1.14) is to assume that default is a "sudden death" e
Course: Credit Markets and Models
Instructor: Vladimir Finkelstein
Lecture 13
Pricing Counterparty Risk
Every time two counterparties enter an over-the-counter deal, both of them assume each others cr
Course: Credit Markets and Models
Instructor: Vladimir Finkelstein
Lecture 12
Generating Default Times Using Copulas
One can use Monte Carlo simulation to price CDO tranches. In order to do that we ne
Course: Credit Markets and Models
Instructor: Vladimir Finkelstein
Lecture 11
Prior to the crisis of 2008 Collateralized Debt Obligations was the fastest growing class of credit derivatives
structured
Course: Credit Markets and Models
Instructor: Vladimir Finkelstein
Lecture 10
Cross-Currency Swaps and Forwards
In a typical Cross-Currency swap, counter parties exchange floating coupon payments with
Course: Credit Markets and Models
Instructor: Vladimir Finkelstein
Lecture 9
Brief History of Connecting Equity and Credit
Merton, 1974
Asset of a firm is a sum of present values of firms equity and
Course: Credit Markets and Models
Instructor: Vladimir Finkelstein
Lecture 8
Options on CDS Indexes
This market has been evolving very fast. Currently we have a two-way market for European options on
Course: Credit Markets and Models
Instructor: Vladimir Finkelstein
Lecture 7
Pricing Credit Derivatives with uncertain payoff
Similar to the interest rate case, in order to price CD securities, we nee
Course: Credit Markets and Models
Instructor: Vladimir Finkelstein
Lecture 6
Below in our analysis we will assume that
1. ZCB and RZCB0 of any maturity are readily available for trading
2. There is no
Course: Credit Markets and Models
Instructor: Vladimir Finkelstein
Lecture 5
Bond Spread Vs. Par Bond Spread for PFA
In order to quote bond prices and analyze relative value, practitioners often use a
Course: Credit Markets and Models
Instructor: Vladimir Finkelstein
Lecture 4
Approximation for the price of a bond with a continuously paid coupon.
Just as we did in L3 for a CDS, assuming that a bond
Course: Credit Markets and Models
Instructor: Vladimir Finkelstein
Lecture 3
Credit Default Swaps (CDS)
CDS is a basic credit derivatives instrument:
ABC is long default protection (short Reference C
Course: Credit Markets and Models
Instructor: Vladimir Finkelstein
Lecture 1
Introduction to Credit Markets
The crisis of 2007-2008 and everything what happened after that demonstrated clearly that cr