Credit Risk

Credit risk is the possibility that a counterparty defaults on a payment. This course covers the main concepts and techniques required to manage the risk of portfolios of credit-sensitive assets, such as corporate bonds or loans. We will also learn how to use credit derivatives to manage credit risk, focusing particularly on Credit Default Swaps. Finally, we will study more complex structures, such as Collateralized Debt Obligations, which were at the forefront of the financial crisis of 2008. The materials covered in this course are relevant to commercial and investment banks and to any large firm with credit-sensitive assets.