Continuous Time Finance: Credit Risk and Capital Structure

FIN546 Continuous Time Finance: Credit Risk and Capital Structure

Spring 2020

  • Topics

    The course is a primer in the classical continuous asset pricing theory applied to pricing of credit risk and choice of capital structure.

  • Learning outcome

    Knowledge:

    Students will have an in-depth understanding of the current research frontier of the continuous time credit risk and capital structure theory.

    Skills: 

    Formulate problems, plan and carry out research within the above mentioned topics.

    Competence:

    Communicate and discuss research with a peer audience.

    Do independent research on the topics of this course.

  • Teaching

    6 lectures of 3 hours in April and May 2020.

  • Recommended prerequisites

    Basic knowledge of asset pricing.

  • Requirements for course approval

    Class participation.

    Homework sets.

  • Assessment

    Individual term paper

  • Grading Scale

    Pass-fail

  • Literature

    The basics: Duffie, Dynamic Asset Pricing,  Ch 5/Ch 11 Black/Scholes (1973) Merton (1973) Merton (1974) Duffie/Lando (2001) Leland (1994) Goldstein, Ju, Leland (2001) Extensions: Debt maturity: Leland/Toft 1998  Dynamic capital structure: Christensen, Floor, Lando, Miltersen (2014) Renegotiations (TBA) Asymmetric information:Duffie/Lando 2001, Lindset, Lund, Persson (2014)

    Banking: Dermine/Lajerie (2001), Atreya, Mjøs, Persson (2019), Nagel,Purnanandam (2019)

    More than one debt class: Lindset, Nygaard, Persson (2019)

Overview

ECTS Credits
2.5
Teaching language
English
Semester

Spring 2020.

Course responsible

Svein-Arne Persson. department of finance