Fall 2024
CREDIT RISK/CREDIT DERIVATIVES
, 3 pts, E4731CREDIT RISK/CREDIT DERIVA
Introduction to quantitative modeling of credit risk, with a focus on the pricing of credit derivatives. Focus on the pricing of single-name credit derivatives (credit default swaps) and collateralized debt obligations (CDOs). Detail topics include default and credit risk, multiname default barrier models and multiname reduced form models.
CREDIT RISK/CREDIT DERIVA
Introduction to quantitative modeling of credit risk, with a focus on the pricing of credit derivatives. Focus on the pricing of single-name credit derivatives (credit default swaps) and collateralized debt obligations (CDOs). Detail topics include default and credit risk, multiname default barrier models and multiname reduced form models.
- Section Number
- 001
- Call Number
- 14572
- Day, Time & Location
- MW 1:10PM-2:25PM 524 Seeley W. Mudd Building
- Instructor
- Agostino Capponi