- Program Tuition: $4,500 USD
- Program tuition includes course materials
This course is designed to give participants the basic skills to understand the credit approval process in a new credit environment. It has the advantage of using many real-life case studies, giving delegates the opportunity to apply their theoretical knowledge to actual deal analysis. Delegates will examine deals in detail and, under instruction from the professor, they will analyse cases from both lender and borrower perspectives.
Specific topics include: Credit risk modeling, valuation, and hedging emphasizing underlying economic, probabilistic, and statistical concepts. Point processes and their compensators. Structural, incomplete information and reduced form approaches. Single name products: corporate bonds, equity, equity options, credit and equity default swaps, forwards and swaptions. Multiname modeling: index and tranche swaps and options, collateralized debt obligations. Implementation, calibration and testing of models. Industry and market practice. Data and implementation driven group projects that focus on problems in the financial industry.