Introduction to Credi Risk
Dear All Master Students,
within the course MAT4701 Stochastic Analysis with application we have the pleasure to have two guest lectures on
INTRODUCTION TO CREDIT RISK
These are held by Dr. Sven Haadem who obtains a PhD in Stochastic Analysis and Mathematical Finance from UiO in March 2014 and now works at DNB Group Risk Management - subsection Risk Quantification.
He will give a review of current industry standards for risk management in banks and supervisory frameworks. This includes the Basel regulatory framework, credit risk models, and portfolio models. For singular exposure models there will be a review of regression models, Merton-type models and reduced-form models. For portfolio models he will look at simulations and copulas. The lectures are held:
Monday March 14th at 10:15-12:00 in NHA Undervisningsrom UE32
Wednesday March 16th at 12:15- 14:00 in NHA Undervisningsrom UE26
Registration is free but compulsory. Please, write an email with subject REGISTRATION TO CREDIT to giulian [curly at] math.uio.no
Published Mar. 2, 2016 4:37 PM