Organisation:		News:
Instructors:	Prof. Dr. Gunter Löffler with	Results of late-sit exam are available here.
	Bappaditya Mukhopadhyay and
	Dipl.-WiWi. Jürgen Bohrmann
Lecture:	Wednesday, 12.30 - 14.00, H12
	Thursday, 15.15 - 16.45, H11

You can send an (even anonymous) feedback using the feedback form and choosing your desired recipient. Contact Jürgen Bohrmann if you have questions about this course.

Downloads are password protected. The username is „student“ and the password will be given in the lecture and is available on the withboard in front of our rooms. You can use your ANA (Authentifizierter Netzzugangs-Account) from kiz and the webVPN to bypass the protection.

 

Prerequisites:

"Investition und Finanzierung" or "Asset Pricing" or comparable knowledge in finance.

Course:

Lecture (3 hours per week), exercises (1 hour per week)

 

Downloads-Lecture:

Lecture slides - introduction

Link to: Moody's corporate default and recovery rates, 1920-2008

Link to: Standard & Poor's corporate ratings criteria 2008

Lecture slides - statistical models

Lecture slides - nonlinear probability models

Lecture slides - loans as options

Lecture slides - KMV

Lecture slides - last chapters

 

Downloads-Exercises:

Problem set 1 - PDF

Problem set 1 - Excel

Problem set 1 - Solution

Problem set 2 - PDF

Problem set 2 - Excel

Problem set 2 - Solution

Problem set 3 - PDF

Problem set 3 - Excel

Problem set 3 - Solution

Problem set 4 - PDF

Problem set 4 - Solution

Problem set 5 - PDF

Problem set 5 - Solution

 

Downloads-Case Study:

Case Study - PDF

Case Study - Excel Data

 

Downloads-Exams:

Exam from 2006 Please note that the 2006 exam, because of changes in the course content, is not fully representative of the upcoming summer 2009 exam. Especially, questions B1, C1a and C2 are not relevant for this year's exam.

Exam preparation hints

Short solution to question A2b

 

Dates:

Date	Kind	Remark
Wed, 22.04.2009	Lecture	Löffler
Thu, 23.04.2009	Lecture	Löffler
Wed, 29.04.2009	Lecture	Löffler
Thu, 30.04.2009	Lecture	Mukhopadhyay
Wed, 06.05.2009	Exercises	Löffler
Thu, 07.05.2009	Lecture	Mukhopadhyay
Wed, 13.05.2009	Lecture	Mukhopadhyay
Thu, 14.05.2009	Lecture	Mukhopadhyay
Wed, 20.05.2009	Lecture	Mukhopadhyay
Wed, 27.05.2009	Lecture	Mukhopadhyay
Thu, 28.05.2009	Lecture	Mukhopadhyay
Wed, 10.06.2009	Lecture	Mukhopadhyay
Wed, 17.06.2009	Lecture	Löffler
Thu, 18.06.2009	Lecture	Löffler
Wed, 24.06.2009	Lecture	Löffler
Thu, 25.06.2009	Exercise	Bohrmann
Wed, 01.07.2009	Lecture	Löffler
Thu, 02.07.2009	Lecture	Löffler
Wed, 08.07.2009	Lecture/CS presentation	Löffler
Thu, 09.07.2009	Exercise	Bohrmann
Wed, 15.07.2009	Lecture	Löffler
Thu, 16.07.2009	Lecture	Löffler
Wed, 22.07.2009	Exercise	Bohrmann
Thu, 23.07.2009	Lecture	Löffler

Course contents:

Rating process of rating agencies

Statistical models: Altman Z score and linear probability models

Credit scoring with logit/probit

Option-theoretic approaches to default risk

Rating validation

Measuring credit portfolio risk

Bank regulation (Basel II)

Credit derivatives, securitization and the recent financial crisis

Selected special topics

 

Learning goals:

Students will

be able to assess the credit quality of a company following the approach used by rating agencies,

understand statistical credit scoring models (logit, probit) and be able to implement them,

be able to estimate default probabilities using the option-theoretic approach,

be able to validate a rating system using historical rating and default data,

be able to set up a model for credit portfolio risk,

understand the key elements of bank regulation

be familiar with modern credit instruments (CDS, securitization)

 

Exam:

The late-sit exam is scheduled for Thursday, 1st of October 2009, between 10.00 and 12.00 am in Heho 18, room E20. Please be there on time. You should take your student ID, pens and a nonprogrammable handheld calculator with you. Additionally, you can take the 4 printed out chapters of Prof. Bappa's part (statistical models, nonlinear probability models, loans as options, KMV) with you. Further printouts or your own notes are not permitted. Please do not forget to register for the exam at least one week before in the Studentensekretariat.