Description: This course will appeal to students who want to understand how credit risk modeling is done in practice.
The course will focus on the practical challenges that arise in implementing a variety of credit-risk analytics within banks and other financial institutions. We will explore a number of approaches to modeling credit-risky instruments and the portfolios that they form. We will tend heavily towards discussions of practical model implementation and the “frictions” that can make these implementations difficult in real-world settings. Lectures will to focus on conceptual themes and practical issues, with much of the technical detail underlying these to be found in the instructor’s text. The course will deal primarily with corporate credit risk with some discussion of retail credit risk and structured securities.
In addition, subject to scheduling constraints, we will be joined by several industry experts who will present on their various areas of expertise.
The course draws on the experience of the instructor, Roger M. Stein, who has been working in applied financial modeling for almost 25 years and has led teams that built credit tools in use at over 300 institutions worldwide. Dr. Stein has held the position of President of Moody’s Research Labs and Head of Research at Moody’s KMV, among others. He serves on the editorial boards of a number of finance journals and has published extensively in the areas of credit modeling and model validation. Stein has previously taught at New York University.
Course #: 15.S12
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