BEM 109 - Fixed-Income and Credit-Risk Derivatives

Institution:

California Institute of Technology

Subject:

Business Economics and Management

Description:

An introduction to the models of interest rates and credit/default risk. The focus is on continuous time models used in Wall Street practice for pricing and hedging fixed income securities. Two main models for credit risk are considered: structural and reduced form. Instructor: J. Zhang.

Credits:

9.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.caltech.edu

Phone Number:

(626) 395-6811

Regional Accreditation:

Western Association of Schools and Colleges

Calendar System:

Quarter

The Course Profile information is provided and updated by third parties including the respective institutions. While the institutions are able to update their information at any time, the information is not independently validated, and no party associated with this website can accept responsibility for its accuracy.