MA 575: Market and Credit Risk Models and Management

The objective of the course is to familiarize students with the most important quantitative models and methods used to measure and manage financial risk, with special emphasis on market and credit risk. The course starts with the introduction of metrics of risk such as volatility, value-at-risk and expected shortfall and with the fundamental quantitative techniques used in financial risk evaluation and management. The next section is devoted to market risk including volatility modeling, time series, non-normal heavy tailed phenomena and multivariate notions of codependence such as copulas, correlations and tail-dependence. The final section concentrates on credit risk including structural and dynamic models and default contagion and applies the mathematical tools to the valuation of default contingent claims including credit default swaps, structured credit portfolios and collateralized debt obligations.