This course introduces credit derivatives and Collateralized Debt Obligations (CDO’s). The course reviews the most important credit instruments and their marketing, starting with risky bonds and credit default swaps, through basket swaps, structured products and CDO’s. Each instrument is defined and explained, including its markets, modeling, pricing and risk management. Class work is illustrated with theoretical homework and practical Excel projects.
Prerequisite: FRE 6411, FRE 6511.
Additional material: FRE 6611 BASIC CREDIT DERIVATIVES VALUATION AND APPLICATIONS.pdf