IEOR E4731
CREDIT RISK/CREDIT DERIVATIVES
Lect: 3. Introduction to quantitative modeling of credit risk, with a focus on the pricing of credit derivatives. Focus on the pricing of single-name credit derivatives (credit default swaps) and collateralized debt obligations (CDOs). Detail topics include default and credit risk, multiname default barrier models and multiname reduced form models
Topics
- default and credit risk
- multiname default barrier models and multiname reduced form models
Topics explicitly listed in official catalogue description
Prerequisites & course information
Prerequisites: ( IEOR E4701 ) and ( IEOR E4707 ) IEOR E4701 AND IEOR E4707
Sources
- Course catalogue ↗2026-2027