Understanding Credit Risk Models: A Comprehensive Guide

DESCRIPTION

This course, taught by Stefano Herzel in Spring 2015, delves into the intricacies of credit risk models, focusing on how to effectively model credit risk and evaluate bonds for default risk. The curriculum covers key concepts such as structural models and reduced-form models. Assessment is based on class participation (20%), a project (40%), and a written exam (40%). Prerequisite knowledge in Asset Pricing is required. For inquiries, contact Stefano Herzel at the Department of Economics and Finance.

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Feb 12, 2026

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Understanding Credit Risk Models: A Comprehensive Guide

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Credit RiskModels 6 Credits, Spring 2015 Stefano Herzel
Credit Risk Models • 6 CFU, Spring 2015 • How to model the credit risk • How to evaluate bonds subject to the risk of default • Structural models • Reduced form models • Prerequisite: Asset Pricing !
Grade Assessment • Class Participation (20%) • Project (40%) • Written Exam (40%)
General information • Stefano Herzel- Dep. Economics and Finance • Stefano.herzel@uniroma2.it • 06-7259 5946 • Office: build. A, 35, 1st floor