CREDITRISK:MODELLING,VALUATION
ANDHEDGING
MarekRutkowski
FacultyofMathematicsandInformationScience
WarsawUniversityofTechnology
00-661Warszawa,Poland
markrut@mini.pw.edu.pl
1.VALUE-OF-THE-FIRMAPPROACH
2.INTENSITY-BASEDAPPROACH
3.MODELLINGOFDEPENDENTDEFAULTS
4.CREDITRATINGSANDMIGRATIONS
WinterSchoolonFinancialMathematics2002
OudPoelgeest,December16-18,2002

VALUE-OF-THE-FIRMAPPROACH
1BasicAssumptions
1.1DefaultableClaims
1.1.1ProbabilitiesPandP
1.1.2DefaultTime
1.1.3RecoveryRules
1.2Risk-NeutralValuationFormula
1.3CorporateZero-CouponBond
2ClassicModels
2.1MertonΓfisMode
2.1.1MertonΓfisFormul
2.1.2CreditSpreads
2.2BlackandCoxModel
2.2.1CorporateZero-CouponBond
2.2.2BondValuation
2.2.3BlackandCoxFormula
2.2.4OptimalCapitalStructure
3StochasticInterestRates
4HybridModels