ORIE 5620 - [Credit Risk: Modeling, Valuation, and Management]

Spring. Next offered 2015-2016. 3 credits.

Prerequisite: ORIE 3510 and ORIE 5600.

Staff.

Introduces the modeling and valuation of credit risks. Emphasizes credit derivative instruments used for hedging credit risks, including credit swaps, spread options, and collateralized debt obligations.