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Jul 01, 2025
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Fall 2025 Graduate Catalog
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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
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