Credit Risk Management (AMATH 547)

This course is an introduction to the mathematical, statistical and financial foundations of models for analyzing, predicting, and mitigating credit risks. Students will learn the theoretical basis for widely-used modeling methods for credit risk assessment and implement those methods through programming assignments using R. The course will focus on both obligor-level and portfolio-level credit risks, as well as valuation and risk analysis of assets and derivatives with credit risk.

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