Introduction to Interest Rate and Credit Risk Modeling

Understanding how to price financial derivatives and assess credit risk is a cornerstone of modern quantitative finance. This course simplifies complex mathematical frameworks, making them accessible to anyone looking to enter the world of financial engineering. You will transition from a basic understanding of finance to confidently analyzing interest rate dynamics and credit default models. By reading through structured explanations and analyzing practical code implementations, you will grasp how financial institutions price complex securities and manage risk. What you'll learn: - Understand the foundational concepts of time value of money, yield curves, and arbitrage-free pricing - Explore key interest rate models including the Vasicek and Cox-Ingersoll-Ross (CIR) frameworks - Analyze structural credit risk models such as the Merton and Black-Cox models to estimate default probability - Compare structural approaches with reduced-form credit market models - Derive pricing formulas for standard derivative securities using mathematical finance principles - Apply these mathematical concepts using modern Python code snippets for numerical simulation The course begins with essential terminology and the core mechanics of interest rates before moving into detailed mathematical formulations of credit risk. You will progress systematically from basic pricing principles to advanced structural and reduced-form models. This course is designed for beginners, aspiring quantitative analysts, and finance students who want a solid theoretical and practical foundation. No advanced prerequisites are required. Start building your foundational knowledge of quantitative financial modeling today.