BUFN746

Prerequisite: BUSI640; and BUFN740. Restriction: Must be in Business and Management (Master's) program; or permission of BMGT-Robert H. Smith School of Business. Surveys the theory and practice of credit risk identification, measurement and mitigation along with understanding the principles of enterprise risk governance and risk-adjusted returns. The course examines how to develop credit loss distributions via Monte Carlo simulation or copula methodologies for consumer assets such as mortgages, credit cards and auto loans, developing commercial loan scorecards for rating credit risk. Pricing and use of various credit structures such as credit default swaps, collateralized debt obligations and credit-linked notes is examined.