| Week | Topic |
Reading in textbook | Papers to read
|
| 1 (8/25) |
Basic Concepts | Chapters 2 | - |
| 2 (8/28, 8/30, 9/1) |
Basic Concepts | Chapter 2 cont. | - |
| 3 (9/4, 9/6, 9/8) |
Multivariate models | Chapter 3 |
Azzaline and Capitanion (2003) |
| 4 (9/11, 9/13, 9/15) |
Multivariate models, copulas | Chapter 5 | - |
| 5 (9/18, 9/20, 9/22) |
Copulas | Chapter 5 | - |
| 6 (9/22, 9/27, 9/29) |
Copulas | Chapter 5 | - |
| 7 (10/2, 10/4, 10/6) |
Credit Risk Management | Chapter 8 | - |
| 8 (10/11, 10/13) | Credit Risk Management | Chapter 8
| Modeling Default Risk |
| 9 (10/16, 10/18, 10/20) | Credit Risk Management |
Chapter 8 |
On the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Models |
| 10 (10/23, 10/25, 10/27) | Credit Risk Management |
Chapter 8 | - |
| 11 (10/30, 11/1, 11/3) | Credit Risk Management |
Chapter 8 | - |
| 12 (11/6, 11/8, 11/10) | Dynamic Credit Risk |
Chapter 9 | - |
| 13 (11/13, 11/15, 11/17) | Dynamic Credit Risk |
Chapter 9 | - |
| 14 (11/20, 11/22) | Dynamic Credit Risk |
Chapter 9 | Measuring Default Risk Premia
from Default Swap Rates and EDFs |
| 15 (11/27, 11/29, 12/1) | Dynamic Credit Risk |
Chapter 9 | - |