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The recent financial crisis from 2008 on, with all its aftermath (sovereign debt crisis, LIBOR manipulations emerging, etc.) made clear to everyone that there does not exist a thing in the market which is "risk-free", be it a debt emitter or an interest rate. This originated interesting research in modelling markets which explicitly incorporate default risk of some kind.

This workshop wants to explore some of the approaches used to model credit risk in financial markets. More in detail, the emphasis will be on the evaluation of single risky securities in structural credit risk models (invited lecture by prof. Frey) and in so-called "market models" which admit arbitrage opportunities (invited lecture by prof. Kijima), and in the measurement of systemic risk in the market (invited lecture by prof. Rudloff).

There is the possibility of presenting contributed papers, both in line with the topics above as well as about other topics of Mathematical Finance, see this page.