B40.3176 Credit DerivativesCourse description: This half-semester mini-course introduces Finance MBA students to the theoretical and practical aspects of derivative securities based on credit risk. Credit Default Swaps (CDS), Collateralized Debt Obligations (CDOs) are a relatively recent innovation, but the risk they are designed to manage is fundamental and pervasive. It is no surprise that the market for credit derivatives has developed enormously fast. How important they have become in our financial system is apparent, especially during the current financial crisis, in which these new securities are playing a major role. The subject matter requires relatively greater use of quantitative methods and theoretical reasoning than many other courses The industry-standard valuation models for credit derivatives use concepts from probability theory that will not be entirely familiar, and most MBA students will find parts of it quite challenging. The concepts you need in order to understand credit derivatives models will be presented in class, with an emphasis on mastering the basics, and on understanding the more advanced technical details at an intuitive level. B01.2311 Foundations of Finance is a prerequisite for this course. |
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