Reading list
Credit Risk Modelling
Kreditriskmodellering
Course
GM1042
Second cycle
7.5 credits (ECTS)
About the Reading list
Valid from
Autumn semester 2024 (2024-09-02)
Decision date
2024-06-19
The core literature in the course is the lecture slides. These will be complemented with lecture notes which will be distributed (hardcopy) for free on lectures.
Recommended complementary literature:
Credit Risk Modeling. Theory and Applications (2004), Lando, D., Princeton University Press.
Credit Derivatives pricing models (2003), Schönbucher, P., Wiley.
Counterparty Credit Risk, Collateral and Funding(2013), Brigo, Morini, Pallavicini. Wiley