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Reading Course: Credit Risk

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Reading Course: Credit Risk

Prof. Dr. Jörn Sass

News:

Next meeting on Friday, Nov 10, at 10:00 in 48-519 (new room !).

Topics:

Part I: Risk measures, credit risk, credit portfolios

Part II: Concentration risk

Part I is for Master Actuarial and Financial Mathematics (6 credits) , the combination of parts I and  II for all  other master programs who need 12 credits.

Literature for Part I:

P. Artzner, F. Delbaen, J.-M. Eber, D. Heath (1999): Coherent rsik measures. Mathematical Finance 9, 203-228.

H. Föllmer, A. Schied (2008): Convex and coherent risk measures. Preprint.

M.R. Hardy (2006): An introduction to risk measures for actuarial applications. Preprint.

E. Lütkebohmert (2009): Concentration Risk in Credit Portfolios. Springer. (Chapters 1-6)

Literature for Part II:

E. Lütkebohmert (2009): Concentration Risk in Credit Portfolios. Springer. (Chapters 7-11)

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