Lectures related to Credit derivative

Peaks-Over-Threshold Model: Implications and Estimation

Explores the Peaks-Over-Threshold model assumptions, implications, and estimation methods, including fitting a GPD model to exceedances.

Credit Risk Management: Models and Challenges

Explores credit risk management challenges, models, and credit derivatives.

Introduction to Derivatives

Introduces derivatives, forward contracts, options, and their financial uses.

Modelling Dependence Among X's

Explores the impact of dependence among variables on credit risk modelling.

Credit Derivatives: Pricing and Risk Measures

Covers challenges in credit risk and pricing of credit derivatives.

Interest Rates: Term Structure and Valuing Bonds

Explores interest rates, term structures, bond valuation, and credit risk impact on bond prices.

Bank Capital & Funding

Covers credit risk structuring, bank capital ratios, funding determinants, and optimal capital structure, emphasizing interbank lending and covered bonds.

Share-holder Activism

Explores the rise of share-holder activism, its impact on market performance, and the challenges faced by arbitrageurs in correcting mispricings.

Loan Sales and Securitization: Managing Financial Risks

Discusses loan sales and securitization as strategies for managing financial risks in lending.

Corporate Finance: Nestlé S.A. Analysis

Analyzes Nestlé S.A., covering financial structure, credit ratings, debt details, and the impact of corporate taxes.

Bank Lending: Credit Risk and Market Dynamics

Examines bank lending and credit risk, focusing on commercial real estate challenges and the dynamics of loan pricing and relationship banking.

Loan Sales & Securitization

Covers loan sales, securitization, risks associated with loans, and the process of moving risks off-balance-sheet.

Liquidity Risk and Deposit Contracts in Banking

Discusses liquidity risk, deposit contracts, and their implications for banking stability.

Financial Intermediation: Course Introduction & Overview

Provides an overview of financial intermediaries, focusing on banks, their functions, risks, and regulatory aspects.

Understanding Financial Intermediation: Course Overview and Key Concepts

Introduces the course on financial intermediation, focusing on the role and risks of financial intermediaries in the economy.

Credit Analysis: Examples

Covers credit analysis examples, variations by loan type, and specific cases.

High Frequency Trading: Secrets and Ethics

Explores high frequency trading, ethical dilemmas in finance, and the importance of structural reforms in the industry.

Introduction to Derivatives

Introduces derivatives, hedging, speculation, and engineering payoffs through trading and pricing.

Loan Pricing

Delves into loan pricing, covering conditions for positive returns, institutional costs, loan loss, funding composition, interest rate evidence, and credit rationing.

Introduction to Derivatives

Introduces derivatives, their value dependencies, historical evolution, and forward contract payoff structures.