Foundations of Interest Rate and Credit Risk Modeling

Quantitative finance relies on robust mathematical models to price debt securities and manage risk in modern financial markets. This text-based course guides you through the fundamental mathematics of interest rates and credit risk, helping you understand how financial institutions price complex derivatives. You will learn to: - Understand the core concepts of arbitrage-free pricing and financial derivatives. - Explore classic interest rate models and their mathematical formulations. - Analyze structural credit risk models, including the Merton and Black-Cox frameworks. - Study reduced-form credit models to evaluate default probabilities. - Apply mathematical techniques to derive pricing formulas for credit-sensitive assets. - Gain insight into modern quantitative finance practices, including basic risk management workflows. Starting with key terminology and foundational definitions, the course systematically builds your knowledge from basic interest rate structures to sophisticated credit risk models. This course is designed for beginners in quantitative finance, economics students, or analysts looking to build a strong mathematical foundation in credit and interest rate modeling. Begin reading today to master the mathematical core of modern debt and credit markets.