37004 Interest Rates and Credit Risk Models8cp
Requisite(s): 24 credit points of completed study in spk(s): STM91543 Core Subjects (Mathematics)
These requisites may not apply to students in certain courses. See access conditions.
Anti-requisite(s): 25872 Interest Rates and Credit Risk Models
This subject considers models which allow for interest rate risk and/or the possibility of credit default. The aim of this subject is for students to obtain a thorough working knowledge of models for interest rate and credit risk, their practical implementation and calibration to market data, their underlying assumptions and limitations, as well as applying the mathematical techniques underpinning the models. The subject concludes with a case study from the global financial crisis (GFC) which illustrates the ethical issues and potential conflicts of interest, as well as the modelling limitations, that can arise in the design, valuation and issuance of structured financial products.
Detailed subject description.