Credit Risk Models. 3 credits, 3 contact hours

Catalog description

Prerequisites: MATH 604 , MATH 605 , MATH 606 or permission of the instructor. This course explores mathematical models and methods for credit risk measurement and rating. The nature of credit risk is reviewed through examination of credit instruments, including credit default swaps, collateralized debt obligations, and basket credit derivatives. These instruments, through which risk exposure opportunities and hedging possibilities are created and managed, are explored with respect to dynamics and valuation techniques, applying PDE methods and stochastic processes.