| Call Number | 12378 |
|---|---|
| Day & Time Location |
MW 10:10am-11:25am 524 Seeley W. Mudd Building |
| Points | 3 |
| Grading Mode | Standard |
| Approvals Required | None |
| Instructor | Agostino Capponi |
| Type | LECTURE |
| Method of Instruction | In-Person |
| Course Description | 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). Detail topics include default and credit risk, multiname default barrier models and multiname reduced form models. |
| Web Site | Vergil |
| Department | Industrial Engineering and Operations Research |
| Enrollment | 12 students (50 max) as of 10:06AM Sunday, April 28, 2024 |
| Subject | Industrial Engineering and Operations Research |
| Number | E4731 |
| Section | 001 |
| Division | School of Engineering and Applied Science: Graduate |
| Open To | Engineering:Graduate |
| Campus | Morningside |
| Section key | 20233IEOR4731E001 |