Credit Risk and Bankruptcy

Catalog description

The objective of the course is to provide an introduction as well as an in-depth understanding of single-name derivative products, primarily the single-name credit default swaps (CDS), as also index products, with a focus on sovereign CDS and index products. We will apply the tools by studying signs of market stress during the COVID-19 crisis and how Fed interventions alleviated the market turmoil in that period. In particular, the liquidity in the markets for government bonds will become important to understand as well. Along the way, we will look at methods to quantify the systemic risk of the financial sector and regulatory as well as market-based stress-testing of financial firms. Finally, we will also pay some attention to the ongoing concerns around zombie lending to corporates by bond markets given the central bank backstop post COVID.