MAFS523 Advanced Credit Risk Models

Course Outline

 

Lecture Notes

 

 

 






 

Homework set


 

 

 

Topic One - Survival functions and hazard rate functions

         1A          1B            1C       

Topic Two - Credit sensitive swaps

         2A          2B            2C  

Topic Three - Risky convertible bonds

Topic Four - Credit spread derivatives

 

Homework