AMS 517 - Quantitative Risk Management

The course will cover structural and reduced-form approach to pricing credit default, Markovian models (or rating-based) pricing methods, statistical inference of relative risks, counting process, correlated (or dependent) default times, copula methods and pricing models for CDOs.

3 credits

Prerequisite(s): AMS 507 and AMS 511

Grading ABCF grading