Columbia University
Term-Structure and Credit Derivatives
Columbia University

Term-Structure and Credit Derivatives

This course is part of Financial Engineering and Risk Management Specialization

Taught in English

Some content may not be translated

Garud Iyengar
Ali Hirsa
Martin Haugh

Instructors: Garud Iyengar

8,503 already enrolled

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Course

Gain insight into a topic and learn the fundamentals

4.6

(47 reviews)

Intermediate level

Recommended experience

13 hours (approximately)
Flexible schedule
Learn at your own pace

Details to know

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Assessments

16 quizzes

Course

Gain insight into a topic and learn the fundamentals

4.6

(47 reviews)

Intermediate level

Recommended experience

13 hours (approximately)
Flexible schedule
Learn at your own pace

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This course is part of the Financial Engineering and Risk Management Specialization
When you enroll in this course, you'll also be enrolled in this Specialization.
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There are 6 modules in this course

What's included

1 video3 readings

Welcome to week 2! This week, we will re-visit the fixed income instruments. So far we have been very comfortable with the notion of a fixed interest rate. In reality, however, interest rate is always evolving over time. Previously, we have seen that the evolution of stock prices can be modeled via multi-period binomial models or the Black Scholes model, but how do we capture the evolution of interest rate? Let us unfold the modeling of interest rate in this week. We will also see that all security derivatives have their equivalents in fixed income domains, such as options, forwards, futures and swaps. If you get stuck on the quizzes, you should post on the Discussions to ask for help. (And if you finish early, I hope you'll go there to help your fellow classmates as well.)

What's included

12 videos1 reading4 quizzes

Welcome to week 3! This week, we will start with an important practice in real-life financial engineering - model calibration. The mathematical models are no good if they do not capture the regularities in the financial markets. In order to ensure that our models are useful, we need to search for model parameters that describe the current market conditions. You might find it very helpful to review the optimization methods in the pre-requisite materials of Introduction of Financial Engineering and Risk Management.

What's included

8 videos2 readings3 quizzes

Welcome to week 4! This week we will introduce credit derivatives, a very powerful family of derivative products that are partially responsible for the Financial Crisis in 2008. As always, if you get stuck on the quizzes, you should post on the Discussions to ask for help. (And if you finish early, I hope you'll go there to help your fellow classmates as well.)

What's included

5 videos3 quizzes

Welcome to week 5! This week, we will focus on a brand new set of financial products - mortgage-backed securities. Mortgage-backed securities are constructed from mortgages, which are common cash flows occurring in the housing market. Through a detailed case study of mortgage-backed securities, we will touch upon the important concept of securitization, i.e. how to package common cash flows into securitized products. We will explore a specific kind of financial product - Collateralized Mortgage Obligations (CMO). As always, if you get stuck on the quizzes, you should post on the Discussions to ask for help. (And if you finish early, I hope you'll go there to help your fellow classmates as well.)

What's included

10 videos1 reading5 quizzes

Welcome to week 6! This week, we will explore a specific kind of financial product - Collateralized Mortgage Obligations (CMO). We will also get some experience in pricing those securities. Finally, we will apply the knowledge we learned through the course by working on a quiz and a practical assignment. If you get stuck on the problems, you should post on the Discussions to ask for help. If you finish early, I hope you'll go there to help your fellow classmates as well.

What's included

1 reading1 quiz

Instructors

Instructor ratings
4.5 (16 ratings)
Garud Iyengar
Columbia University
7 Courses434,327 learners
Ali Hirsa
Columbia University
5 Courses44,050 learners
Martin Haugh
Columbia University
7 Courses434,327 learners

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4.6

47 reviews

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Reviewed on Jul 17, 2023

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