Call Number | 12388 |
---|---|
Day & Time Location |
W 1:10pm-3:40pm 303 Uris Hall |
Points | 3 |
Grading Mode | Standard |
Approvals Required | Instructor |
Instructor | David X Li |
Type | LECTURE |
Method of Instruction | In-Person |
Course Description | This course uses a combination of lectures and case studies to introduce students to the modern credit analytics. The objective for the course is to cover major analytic concepts, ideas with a focus on the underlying mathematics used in both credit risk management and credit valuation. We will start from an empirical analysis of default probabilities (or PD), recovery rates and rating transitions. Then we will introduce the essential concepts of survival analysis as a scientific way to study default. For credit portfolio we will study and compare different approaches such as CreditPortfolio View, CreditRisk+ as well as copula function approach. For valuation we will cover both single name and portfolio models. |
Web Site | Vergil |
Department | Mathematics |
Enrollment | 12 students (60 max) as of 12:05PM Sunday, December 8, 2024 |
Subject | Mathematics |
Number | GR5450 |
Section | 001 |
Division | Interfaculty |
Open To | GSAS |
Note | Priority to MAFN. Open to STATS 1/8. Open to Univ. 1/15 |
Section key | 20241MATH5450G001 |