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.

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• Administrative Course Materials:
  • Course Syllabus
  • Course Schedule Spring, 2012.
  • Send e-mail to the class TA (Filippo Curti).