MRM 8640 - Advanced Credit Risk Models

3 Credit Hours
Prerequisites: MRM 8000 and MRM 8600 and MRM 8610.
Description
The course introduces students to the most important theoretical and operational aspects of credit risk models. The content is organized in six modules, which cover single and multi-name credit products, reduced form and structural models of credit risk, as well as fundamentals of counterparty risk pricing and management. The course provides a rigorous introduction to credit risk modeling and management methodologies that are relevant for risk managers, asset managers, structurers, and traders working across different asset classes. May be repeated only if content varies.