My experience as a credit risk analyst in the corporate banking division of one of the leading banks in India did certainly nothing to make me comfortable with this course though one would think it should. The objective of the course included understanding credit risk , how it is traded, how it is priced, the instruments for managing credit exposure and the different approaches to assessing default risk.
Prof Stephen Schaefer covered a wide range of topics spanning structural models to credit default swaps and their pricing as well as single name/basket derivatives, finally concluding with recent developments and the future of credit markets. Though initially it was a bit too much to digest, as the classes progressed and the concepts understood, it miraculously translated into time consuming, yet simple computations! If you manage to make notes of the lecture slides along with practicing the sample papers discussed by the Prof, there is nothing to fear. It becomes a bit too much if put off to the last minute. Prof is always there to lend his full support and guidance towards understanding the concepts better. It is up to us to take advantage of this rare and invaluable opportunity.
What began with reluctant indulgence (since I took up the course more on peer pressure than personal conviction) ended up becoming one of the most important courses I’ve done at LBS. The takeaways from this course for a former corporate banker have been indisputably priceless. Since we now operate in a world of credit derivatives, it is imperative to understand the dynamics of the same irrespective of the nature of our job. I thouroughly enjoyed all of Prof Stephen’s classes!!!