MATH40730

Learning Outcomes:

Understand the causes and consequences of credit risk applied to cash and derivative financial securities.
Review the assumptions underlying various derivative pricing models and to consider the impact of the credit risk and funding requirements on these models.
Understand the major categories of credit risk models.
Analyse the drivers of counterparty credit risk for different categories of derivative securities.
Develop mathematical models to quantify various valuation adjustments for derivatives securities.
Analyse the pricing dynamics of these valuation adjustment models.

Student Effort Hours:

Approaches to Teaching and Learning:

Lectures, tutorials, enquiry and problem-based learning.

Requirements, Exclusions and Recommendations

Learning Requirements:

It is necessary for the student to have taken MATH40430 and ACM30080 (or equivalent) in order to take this module. It is also necessary for the student to have taken MATH40690 and MATH40720.

Module Requisites and Incompatibles

Not applicable to this module.
 

Assessment Strategy

 

Please see Student Jargon Buster for more information about remediation types and timing. 

Feedback Strategy/Strategies

• Group/class feedback, post-assessment

How will my Feedback be Delivered?

Not yet recorded.

D. Brigo, F. Mercurio, Interest Rate Models - Theory and Practice (Second Ed.), Springer Verlag 2006, Chapters 21 -- 23.
D. Brigo, M. Morini, A. Pallavicini, Counterparty Credit Risk, Collateral and Funding, John Wiley & Sons 2013.
J. Gregory, Counterparty Credit Risk and Credit Value Adjustment (Second Ed.), John Wiley & Sons 2012.
J. Gregory, The XVA Challenge (Fourth Ed.), John Wiley & Sons 2020.
J. Hull, Options, Futures, and Other Derivatives (Tenth Ed.), Pearson 2018.
A. J. McNeil, R. Frey, P. Embrechts, Quantitative Risk Management, Princeton Series in Finance, Princeton University Press 2005, Chapter 10.

Timetabling information is displayed only for guidance purposes, relates to the current Academic Year only and is subject to change.