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BEM 109
Fixed-Income and Credit-Risk Derivatives
9 units (3-0-6)  | second term
Prerequisites: BEM 105.
An introduction to the models of interest rates, credit/default risk, and risk management. The focus is on continuous time models used in the practice of Financial Engineering for pricing and hedging fixed income securities. Two main models for credit risk are considered: structural and reduced form/intensity models. Not offered 2018-19.