AMS 517, Topics in Statistical Methods for Finance: Credit Risk Modeling
The course will cover structural and reduced-form approach to pricing credit default, Markovian models (or rating-based) pricing methods, statistical inference of relative risks, counting process, correlated (or dependent) default times, copula methods and pricing models for CDOs.
3 credits, ABCF grading

Text: Statistical Models and Methods for Financial Markets, by T.L. Lai and H. Xing, Springer

Fall Semester. In fall 2008, this course was offered at AMS 691. In future years it will be listed as AMS 517.

Fall 2008 Section
Haipeng Xing, MW 5:20-6:45 pm, Light Eng 152: TBA , AMS 517 Webpage