• Title in French: Risque de crédit
  • Course code: tba
  • ECTS credits: 1
  • Teaching hours: 25h
  • Type: elective course
  • Language of instruction: English
  • Coordinator: Renaud Bourlès
  • Instructor(s): Bolanjiva Randrianarizafy (Natixis)

Brief description

This course is an elective course and is aimed at understanding the notion of credit risk and its role in banking regulation.

Learning outcomes

  • Provide a panorama on banking regulation
  • Understand most basic financial instruments (loans, securitization, bonds etc.)

Course content

  1. Introduction: bonds and OTC transactions
  2. Modeling defaults: structural models and ratings
  3. Structured financing: plain-vanilla, asset financing, securitization etc.
  4. Banking regulation on credit risk


  • BRUYERE R., CONT R., FERY L., JAECK C. and SPITZ T. (2005) : Credit derivatives, Wiley.
  • GOURIEROUX C. et TIOMO, A. (2007) : Risque de crédit: une approche avancée, Economica.
  • MERTON R. (1998) : Continuous time finance, Blackwell Publishers.
  • SCHONBUCHER P. (2002) : Credit derivatives pricing models, Wiley.
  • en/ricr.txt
  • Dernière modification: 2019/01/10 17:13
  • par cpouet