MFM 712, Winter 2020
Credit Risk Modeling
MFM 712 / Credit Risk Modeling
Prerequisite(s): Must be enrolled in MFM program and have completed MFM 701
This course develops models for defaultable firms and practical methods to value the securities they issue and manage their risk. Topics include: Fixed Income Markets, Structural Firm Default Models, Reduced Form Models, Recovery Modelling, Default Dependence, Portfolio Credit Risk, Counterparty Risk, Credit Value Adjustment and extensions.
Instructor: T. Hurd
Up-to-date information presented in your classes
PLEASE REFER TO MOSAIC FOR THE MOST UP-TO-DATE INFORMATION ON TIMES AND ROOMS