2011-2013 Catalog (without addenda) 
    
    Mar 28, 2024  
2011-2013 Catalog (without addenda) [ARCHIVED CATALOG]

FRE 6021 Financial Insurance and Credit Derivatives

1.5 Credits
Financial insurance and Derivatives have moved to the center of modern corporate finance, investments and the management of financial institutions. Option pricing concepts are applied to price complex structured financial products and to price portfolios of equity-linked life insurance. This course also introduces modeling and the pricing of credit derivatives such as CDOs and the many other vehicles used to securitize portfolios of MBS, Loans, etc. Applications to Fixed Income problems, interest rates and bond derivatives, the management of portfolio risks and their like are considered.

Prerequisite(s): FRE 6103 .
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0