Course Descriptions

Prerequisites: 16:642:622 and 16:642:573 or 16:642:574. In addition to equity, interest rates, FX, and commodity derivatives, credit derivatives play an increasingly important role in financial markets. The course will include a review of jump processes; the basic theory of single name credit derivative modeling; structural, reduced form or intensity models; credit default swaps; default correlation, multiname credit derivative modeling; top down versus bottom up models; basket credit derivatives; collaterized debt obligations; and tranche options. The goal of the course is to cover most of the material in "Credit Risk Modeling" by David Lando (Princeton University Press, 2004) or "Credit Derivatives Pricing Models" by Philipp Schonbucher (Wiley, 2004).


General & Admission Inquiries:

Program Co-Directors & Academic Advisors:
Dr. Cun-Hui Zhang & Dr. Sijian Wang

Corporate Relations:
Mohannad Aama