Stulz, Chapter 18: Credit Risks and Credit Derivatives Study Notes contains 20 pages covering the following learning objectives:
* Using the Merton model, calculate the value of a firm’s debt and equity and the volatility of firm value.
* Explain the relationship between credit spreads, time to maturity, and interest rates.
* Explain the differences between valuing senior and subordinated debt using a contingent claim approach.
* Explain, from a contingent claim perspective, the impact of stochastic interest rates on the valuation of risky bonds, equity, and the risk of default.
* Compare and contrast different approaches to credit risk modeling, such as those related to the Merton model, CreditRisk+, CreditMetrics, and the KMV model.
* Assess the credit risks of derivatives.
* Describe a credit derivative, credit default swap, and total return swap.
* Explain how to account for credit risk exposure in valuing a swap.
After reviewing the notes you will be able to apply what you learned with practice questions.
No Sample AvailableShop Courses