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Faculty of Science Mathematics & Statistics
Faculty of Science

Mathematics & Statistics

MFM 712, Winter 2019

Credit Risk Modeling

Calendar Description

MFM 712 / Credit Risk Modeling
3 unit(s)

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

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McMaster University - Faculty of Science

Mailing Address

Department of Mathematics & Statistics
McMaster University

Hamilton Hall, Room 218
1280 Main Street West
Hamilton, Ontario, Canada
L8S 4K1

Contact Information

Office Hours:
8:30 a.m. - 12:00 p.m.
1:00 p.m. - 4:30 p.m.
Telephone Inquiries:
+1 (905) 525-9140 ext.27034
Undergrad Email Inquiries:
undergrad@math.mcmaster.ca

McMaster University - Faculty of Science

Mailing Address

Department of Mathematics & Statistics
McMaster University

Hamilton Hall, Room 218
1280 Main Street West
Hamilton, Ontario, Canada
L8S 4K1

Contact Information

Office Hours:
8:30 a.m. - 12:00 p.m.
1:00 p.m. - 4:30 p.m.
Telephone Inquiries:
+1 (905) 525-9140 ext.27034
Undergrad Email Inquiries:
undergrad@math.mcmaster.ca