RSM6305H: Credit Risk

This course focuses on the pricing, measurement and management of interest rate and credit risks. It provides a broad overview of the issues in fixed income and credit risks, applies state-of-the-art credit risk pricing, measurement, and management techniques.

The emphasis of this course will be on both qualitative and quantitative aspects of credit risk management as well as the implementation of models to capture credit risk in traded assets. Key focus will be given on derivative pricing with respect to interest rate and credit derivatives, credit risk scorecard modelling, structural models for credit risk, and credit risk model validation.

Credit Value (FCE)

0.50

Campus(es)

St. George

School of Graduate Studies University of Toronto 63 St. George Street Toronto, ON Canada M5S 2Z9
Tel: 416-978-6614

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Traditional Land Acknowledgement

We wish to acknowledge this land on which the University of Toronto operates. For thousands of years it has been the traditional land of the Huron-Wendat, the Seneca, and the Mississaugas of the Credit. Today, this meeting place is still the home to many Indigenous people from across Turtle Island and we are grateful to have the opportunity to work on this land.