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Fall 2017 Industrial Engineering and Operations Research E4731 section 001
CREDIT RISK/CREDIT DERIVATIVES
CREDIT RISK MODELING&DERIVATIV

Call Number 61149
Day & Time
Location
MW 1:10pm-2:25pm
1127 Seeley W. Mudd Building
Points 3
Approvals Required None
Instructor Agostino Capponi
Type LECTURE
Course Description Prerequisites: (IEOR E4701) and (IEOR E4707) Introduction to quantitative modeling of credit risk, with a focus on the pricing of credit derivatives. Focus on the pricing of single-name credit derivatives (credit default swaps) and collateralized debt obligations (CDOs). Details topics include default and credit risk, multiname default barrier models and multiname reduced form models. 
Web Site CourseWorks
Department Industrial Engineering and Operations Research
Enrollment 28 students (80 max) as of 12:15AM Saturday, November 18, 2017
Final Exam Day/Time
M 1:10pm-4:00pm
Final Location 1127 Seeley W. Mudd Building
Subject Industrial Engineering and Operations Research
Number E4731
Section 001
Division School of Engineering and Applied Science: Graduate
Open To Engineering and Applied Science: Graduate, Engineering and Applied Science: Undergraduate
Campus Morningside
Section key 20173IEOR4731E001

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SIS update 11/18/17 00:15    web update 11/18/17 15:09