FINM 36702

Portfolio Credit Risk: Modeling and Estimation

Spring Quarter
Instructor: Jon Frye

The global credit crisis of 2008 taught that credit loss can destroy financial institutions that had previously seemed secure. Students in Portfolio Credit Risk learn the models used to analyze this risk, limit positions in credit-sensitive instruments, allocate holding costs to align with risk, and determine the required minimum bank capital. Beyond these specific applications, the modeling of portfolio credit risk provides tools and insights that can be applied when an available data set is sparse relative to the richness of possible outcomes.

This course counts towards the Trading and Risk concentration.