Credit derivatives have emerged as an area of significant interest in global derivatives and risk- management practice. These instruments have the potential to revolutionize the management of credit risk in banking and capital markets. This course introduces the full range of products available in today’s marketplace, the economic value of credit derivatives, valuation techniques and guidelines on using them to manage and control risk.
Prerequisites: FRE 6411, FRE 6511.
Additional material: FRE 6691 INTERMEDIATE CREDIT DERIVATIVES VALUATION AND APPLICATIONS.pdf