Market risk and credit risk, credit markets. Back testing, stress testing and Monte Carlo methods. Logistic regression, generalized linear models and generalized mixed models. Loan prepayment and default as competing risks. Survival and hazard functions, correlated default intensities, frailty and contagion. Risk surveillance, early warning and adaptive control methodologies. Banking and bank regulation, asset and liability management.
Prerequisite
STATS 240 or equivalent.
Notes
- Cross-listed as CME 243
- This course is offered as part of the Summer Intensive in International Management, and qualifies toward the Certificate of Completion in International Management.