The Measurement and Management of Credit Risk II

Catalog description

This course is a continuation of Finance 9855, The Measurement and Management of Credit Risk I. It extends the analysis of individual loans and borrowers to issues of the measurement and analysis of groups and portfolios of loans. It covers loan concentration risk, risk models based on ratings migrations, models appropriate for the evaluation of insurance firm risks, and the analytical derivation and use of risk-adjusted return on capital. This course also introduces students to the concepts and uses of credit derivatives.