Course Descriptions
MFE230VB
Credit Risk Modeling (2 units)
Focuses on the techniques currently used to model credit risk. The course will cover default probabilities, loss given default, correlation, credit portfolio analytics, bond valuation, loan valuation, and credit derivative valuation. Emphasis will be placed on model building, model validation, and interpreting model output. Students will be required to do some high-level programming in a package such as Matlab. Some empirical testing exercises will also be part of the project work. Students will gain exposure to the practical challenges associated with building, testing, and using credit risk models currently used by banks and asset managers.
