Financial Markets

course: Credit Risk Modeling with Affine Processes

speaker: Darrell Duffie (Stanford University)

abstract: This course will begin with the definition and properties of affine processes, a class of Markov processes that is ideally suited to modeling credit risk and the valuation of defaultable bonds, among other financial applications. The course will emphasize applications to intensity-based counting processes for correlated defaults, corporate or sovereign term-structure modeling, credit-rating transition risk, credit default swap pricing, and the pricing and risk measurement of collaterized debt obligations. It is assumed that participants have basic knowledge of Markov processes and stochastic calculus. Familiarity with counting processes and conventional models of the term structure of interest rates will also be quite helpful, but not essential.

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