Course Structure

Students are required to complete 36 credits, including at least 27 credits from the List of Courses (please see details below), and up to 9 credits of free electives/MAFS 6100 Independent Project.

Course List and Description

Nature of risk and risk measures. Reduced form models including Hazard rates and calibration, Exponential models of defaults and Contagion models. Mixture models including Bernoulli mixture models and CreditRisk+ models. Structural models including Merton model and mKMV, CreditMetrics and Gaussian copula, Vasicek model and Hull-White model. Credit derivatives and counter party risks.

In addition to the courses listed above, free electives can be MAFS6100 Independent Project (with a maximum of 6 credits), mathematics courses at 4000-level or above (with a maximum of 6 credits from 4000-level), or other courses outside the department at 5000-level or above.

Credit transfer may be granted to students in recognition of studies satisfactorily completed in other universities or tertiary institutions. Applications must be made to the Department in the first term of study after admission. All credit transfer must be approved by the Program Director and is subject to University regulations governing credit transfer.

Graduation Requirement

Students must complete the program with a graduation grade average (GGA) of 2.850 or above as required of all postgraduate students at the University.

Students should read the graduation requirements to their specific cohort: