New Course: Math 6590.351

Available Spring 2015

Math 6590.351, Topics in Credit Risk, taught by Professor Li:

1. Structural Models of Credit Risk
2. Empirical Analysis in Structural models
3. Reduced Form Models of Credit Risk
4. Credit Spread Puzzle
5. Credit-Default Swaps, Bond spread and liquidity
6. Recovery rates and equity returns
7. Liquidity and its role in credit risk
8. Correlated Default and subprime crisis

Prerequisites: Basic probability and stochastics, and basic asset pricing knowledge. (It is better to have Math 5473.)