Credit Risk Models
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Overview
Subject area
MTH
Catalog Number
9876
Course Title
Credit Risk Models
Department(s)
Description
The course introduces the quantitative credit risk models commonly used in the financial industry, and their applications to the pricing and hedging of widely traded credit derivative instruments. The emphasis is on practical aspects of modeling. Furthermore, applications of the models to the pricing and risk management of counterparty credit exposure are discussed. This is an elective course in the Financial Engineering MS Program.Prerequisite: MTH 9814, MTH 9862, MTH 9878.
Typically Offered
Fall, Spring, Summer
Academic Career
Graduate
Liberal Arts
Yes
Credits
Minimum Units
3
Maximum Units
3
Academic Progress Units
3
Repeat For Credit
No
Components
Name
Lecture
Hours
3
Requisites
024292