I am wondering if I should take a course in Credit Risk/Credit Derivatives in the Columbia IEOR department this summer. Eventually, I am looking to have a career in portfolio/asset management and would like some opinion if this class is absolutely essential for this track. Thanks in advance for your comments!
The course objectives are as follows:
Develop tools to
o Compute arbitrage-free prices of credit sensitive securities, such as credit default swaps (CDS), corporate bonds, CDOs, etc…
o Develop a model for the premium that investors require as compensation for bearing credit risk. (For instance if they purchase a corporate bond).
o Calibration of credit models. Suppose you have market data from credit sensitive instruments such as CDS. How to estimate the default probabilities of your model? How to estimate the implied recovery rates?
o Construct models for risk management of credit portfolios. Banks manage portfolios consisting of heterogeneous instruments, such as defaultable options, CDS, credit linked nodes, bonds, etc… How to correctly estimate the mark-to-market price of such portfolios? Need a proper correlation model.
o Measure the level of credit counterparty risk embedded into a financial contract.
The course objectives are as follows:
Develop tools to
o Compute arbitrage-free prices of credit sensitive securities, such as credit default swaps (CDS), corporate bonds, CDOs, etc…
o Develop a model for the premium that investors require as compensation for bearing credit risk. (For instance if they purchase a corporate bond).
o Calibration of credit models. Suppose you have market data from credit sensitive instruments such as CDS. How to estimate the default probabilities of your model? How to estimate the implied recovery rates?
o Construct models for risk management of credit portfolios. Banks manage portfolios consisting of heterogeneous instruments, such as defaultable options, CDS, credit linked nodes, bonds, etc… How to correctly estimate the mark-to-market price of such portfolios? Need a proper correlation model.
o Measure the level of credit counterparty risk embedded into a financial contract.
