Lectures related to Probability of default

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

Covers challenges in credit risk and pricing of credit derivatives.

Explores tax benefits, debt costs, default factors, and financial distress evaluation.

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

Explores the benefits of loan restructuring for lenders and borrowers, illustrating how modifying loan terms can generate higher surplus.

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

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