• View the Talks
• 33 min
  1. Risk management: some lessons from the credit crisis

  • Mr. Edward Fishwick
• Archived Lectures *These may not cover the latest advances in the field
• 22 min
  2. The need for a new paradigm

  • Mr. Alan Brown
• 41 min
  3. Leading bank credit portfolio strategies

  • Mr. Brian Dvorak
• 26 min
  4. Personal asset/liability management: using the discretionary wealth hypothesis within an equilibrium term structure

  • Mr. Dan diBartolomeo
• 18 min
  5. Quantmare, August 2007

  • Mr. Eoin Murray
• 36 min
  6. Risk decomposition (and risk budgeting)

  • Mr. Jason MacQueen
• 43 min
  7. Structural and reduced form models

  • Dr. Theo Darsinos
• 43 min
  8. Validation techniques I: regulatory and statistical background

  • Dr. Dirk Tasche
• 40 min
  9. Validation techniques II: discriminatory power and calibration

  • Dr. Dirk Tasche
• 52 min
  10. Estimating risk models

  • Prof. Kevin Dowd
• 24 min
  11. Hedge fund risk assessment

  • Mr. David Martin
• 45 min
  12. Modeling business dependencies for credit portfolios

  • Dr. Markus A. Leippold
• 26 min
  13. VaR when volatility is changing

  • Dr. Elizabeth Sheedy
• 30 min
  14. Conditional Value at Risk (CoVAR)

  • Mr. KiHoon Jimmy Hong
• 40 min
  15. Dependence modeling with copulas

  • Prof. Paul Embrechts
  • Dr. Johanna Neslehova
• 41 min
  16. Extreme value theory and copulas

  • Prof. Paul Embrechts
  • Dr. Johanna Neslehova
• 42 min
  17. Measures of financial risk

  • Prof. Kevin Dowd
• 37 min
  18. Modelling UK Mortgage Default in Light of the Financial Crisis

  • Mr. Warapong Wongwachara
• 23 min
  19. Statistical models for risk management

  • Prof. John Knight
• 34 min
  20. The structure of equity risk models

  • Mr. Jason MacQueen
• 42 min
  21. Utility theory and mean variance

  • Dr. Norvald Instefjord
• 40 min
  22. Definitions of risk

  • Dr. Norvald Instefjord
• 29 min
  23. Practical use of portfolio risk management today

  • Mr. Daryl Roxburgh
• 44 min
  24. Volatility

  • Dr. George A. Christodoulakis

Printable Handouts

PDF

Navigable Slide Index

1. Introduction
2. Credit risk
3. Structural models
4. The Merton approach: bond pricing
5. The Merton approach: stock pricing
6. Model details: the probability of default
7. Model details: the credit spread
8. Model details: the bond volatility
9. Model's parameters: firm value and volatility
10. Model's parameters: debt per share
11. A practical example
12. Beyond Merton: academic literature
13. The limitations of the Merton model
14. Extending Merton: The CreditGrades model
15. CreditGrades: the survival probability
16. CreditGrades: The CDS spread
17. Reduced form models
18. Building blocks
19. Default intensity
20. Default intensity examples (1)
21. Default intensity examples (2)
22. Default intensity examples (3)
23. Deafault intensity examples (4)
24. Linking reduced and structural models
25. Recovery rates
26. Summary of intensity models
27. Epilogue: structural vs reduced form models
28. References (1)
29. References (2)

Topics Covered

• Structural models
• The Merton approach: bond pricing, stock pricing, default probability, credit spreads, bond volatility
• Parameter estimation
• Limitations
• Extending Merton: the CreditGrades model reduced form models
• Default intensity
• Examples: constant, deterministic and stochastic intensities
• Linking reduced and structural models
• Recovery rates

Links

Series:

• Quantitative Financial Risk Management

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on October 1, 2007
• Archived on April 4, 2022