Course Resources for Credit Risk Modeling
Spring, 2012. Professor Lamoureux
Check this space for course announcements.
Notice: We meet Tuesdays from 3:30 - 6:20 in McClelland 129.
This year we will use the financial crisis which started in 2008 as a unifying theme for understanding, measuring, and modeling credit risk.
Here is our course page for Harvard Cases.
You can purchase the material directly at this link.
Risk Neutral Valuation is a very useful but puzzling tool. Check out this
heuristic Discussion of Risk-Neutral Valuation.
January 24, 2011. Several students asked about the Fabozzi Cash Arbitrage Example on pp. 329--330.
Here's a spreadsheet that works through the example.
Administrative Course Materials:
Course Schedule Spring, 2012.
Send e-mail to the class TA (Filippo Curti).