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: Quantitative Risk Management: Concepts, Techniques, and Tools, A.J. McNeil, R. Frey, and P. Embrechts
Princeton University Press (September 26, 2005); ISBN: 9780691122557