QRAM 8640 - Advanced Credit Risk Models

3 Credit Hours
Prerequisites: Prerequisites: QRAM 8610.
Corequisites: QRAM 8600.
Description
Corequisite: QRAM 8600.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. M