FRM(R) Credit Risk
X51.9694
/ $2,495
FALL 2008
Continuing Education:
Finance
This module concentrates on the measurement and management of credit risk, which refers to the possibility of losses due to default by the issuer of a financial security. Several key concepts are explored, such as credit ratings, credit spreads, credit scoring, counterparty risk, sovereign risk, etc. Different methodologies for measuring credit risk are introduced, with a focus on the statistical properties of credit risk models. There is an intensive introduction to credit derivatives, with a focus on hedging strategies and pricing models. The key properties of portfolio credit risk models are examined, including Moody's/KMV, Creditmetrics and Credit Risk+.
Related Subject Areas: Financial Risk Management
Course Materials
Section 1
Saturday, Sunday 10:00am-5:00pm
October 12 - October 25
Friday 6:00pm-9:00pm
October 12 - October 25
Class meets 10/12, 10/17, 10/18, 10/19, 10/24, 10/25.
6 Sessions
Instructor:
Alan Anderson
Location: Woolworth Building, 15 Barclay
