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.