Baruch MFE - Financial Engineering Program

MTH 9876 Credit Risk Models

3.0 Hours; 3.0 Credits

The course introduces the quantitative credit risk models commonly used in the financial industry, and their applications to the pricing and hedging of widely traded credit derivative instruments. The emphasis is on practical aspects of modeling. Furthermore, applications of the models to the pricing and risk management of counterparty credit exposure are discussed.

Prerequisite: MTH 9814, MTH 9862, MTH 9878