This course is concerned with the mathematical foundations of interest rate and credit risk theory. The course starts with a development of the multi-dimensional Black & Scholes theory with stochastic ...

and the promotion of greater understanding in the area of credit risk theory and practice. The Journal of Credit Risk considers submissions in the form of research papers and technical reports on, but ...

Ratings agencies quantify the amount of credit risk associated with bonds so investors can understand exactly what they’re getting into. When an investor purchases a bond, they are essentially ...

Merton, Robert C., and André Perold. "Theory of Risk Capital in Financial Firms." Continental Bank Journal of Applied Corporate Finance 6, no. 3 (fall 1993): 16–32.

Gray, Dale . F., Robert C. Merton, and Zvi Bodie. "Contingent Claims Approach to Measuring and Managing Sovereign Credit Risk." Special Issue on Credit Analysis. Journal of Investment Management 5, no ...

This course studies the mathematical foundations of interest rate and credit risk theory. The course starts with a development of the multi-dimensional Black & Scholes theory with stochastic market ...