IEORE4731 Credit Risk Modeling and Derivatives

Instructor: Agostino Capponi

3 pts. Lect: 3. Refer to course syllabus. Since the mid 1990s, a new class of financial instruments - credit derivatives - has been introduced in order to allow to transfer and hedge credit risk. Some of these instruments- credit default swaps and CDOs - have come into focus during the recent financial crisis. This course will focus on the description, use, modeling, and pricing of credit derivatives.

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