# Columbia University - Term-Structure and Credit Derivatives

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## Term-Structure and Credit Derivatives at Coursera Overview

 Duration 14 hours Start from Start Now Total fee Free Mode of learning Online Difficulty level Intermediate Official Website Explore Free Course Credential Certificate

## Term-Structure and Credit Derivatives at Coursera Highlights

• Flexible deadlines Reset deadlines in accordance to your schedule. Shareable Certificate Earn a Certificate upon completion 100% online Start instantly and learn at your own schedule. Course 2 of 5 in the Financial Engineering and Risk Management Specialization

## Term-Structure and Credit Derivatives at Coursera Course details

Skills you will learn
• This course will focus on capturing the evolution of interest rates and providing deep insight into credit derivatives
• In the first module we discuss the term structure lattice models and cash account, and then analyze fixed income derivatives, such as Options, Futures, Caplets and Floorlets, Swaps and Swaptions
• In the second module, we will examine model calibration in the context of fixed income securities and extend it to other asset classes and instruments
• Learners will operate model calibration using Excel and apply it to price a payer swaption in a Black-Derman-Toy (BDT) model. The third module introduces credit derivatives and subsequently focuses on modeling and pricing the Credit Default Swaps
• In the fourth module, learners would be introduced to the concept of securitization, specifically asset backed securities(ABS)

## Term-Structure and Credit Derivatives at Coursera Curriculum

Course Overview

Course Overview

Course Overview

Term Structure Models I

Introduction to Term Structure Lattice Models

Binomial Models for Short Rate

The Cash Account and Pricing Zero-Coupon Bonds

An Example

Fixed Income Derivatives: Options on Bonds

Fixed Income Derivatives: Bond Forwards

Fixed Income Derivatives: Bond Futures

Fixed Income Derivatives: Caplets and Floorlets

Fixed Income Derivatives: Swaps

Fixed Income Derivatives: Swaptions

The Forward Equations: Introduction and Derivation

Pricing using the Forward Equations

Lesson Supplements

2.1 Self-check Quiz

2.2 Self-check Quiz

2.3 Self-check Quiz

Term Structure Models I

Term Structure Models II (and Introduction to Credit Derivatives)

Model Calibration: Introduction and Principles

Model Calibration Using Excel

An Application: Pricing a Payer Swaption in a BDT Model

Fixed Income Derivatives Pricing in Practice

Modeling Defaultable Bonds: Introduction

Modeling Defaultable Bonds: Examples

Pricing Defaultable Bonds: Introduction

Pricing Defaultable Bonds: Calibrating using Excel

Lesson Supplements

Lesson Supplements

3.1 Self-check Quiz

3.2 Self-check Quiz

3.3 Self-check Quiz

Introduction to Credit Derivatives

Credit Default Swaps: Introduction

Credit Default Swaps: Examples

Pricing Credit Default Swaps: Introduction

Pricing Credit Default Swaps: Examples with Excel

Interview with Emmanuel Derman

4.1 Self-check Quiz

4.2 Self-check Quiz

Term Structure Models II and Introduction to Credit Derivatives

Introduction to Mortgage Mathematics and Mortgage-Backed Securities

Introduction to Mortgage Mathematics and Mortgage-Backed Securities - Part I

Introduction to Mortgage Mathematics and Mortgage-Backed Securities - Part II

Prepayment Risk and Mortgage Pass-Throughs - Part I

Prepayment Risk and Mortgage Pass-Throughs - Part II

Mortgage Pass-Throughs in Excel

Principal-Only and Interest-Only MBS

Risks of Principal-Only and Interest-Only MBS

Collateralized Mortgage Obligations (CMOs)

Pricing Mortgage-Backed Securities - Part I

Pricing Mortgage-Backed Securities - Part II

Lesson Supplements

5.1 Self-check Quiz

5.2 Self-check Quiz

5.3 Self-check Quiz

5.4 Self-check Quiz

Introduction to Mortgage Mathematics and Mortgage-Backed Securities

Assignment - CMO

Assignment

## Important Dates

May 25, 2024
Course Commencement Date

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