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.