Markov Chain Models in Credit Risk Management
Practical introduction to mortgage lending and the practice of measuring and managing consumer credit risk. Introduction to Markov chain theory and transition roll rate modeling through extensive case study of the collapse of the U.S. mortgage industry in 2007 - 2008 and the origins of the Great Recession. Risk reporting and segmenting; probability of default; loss given default; house price dynamics; loss forecasting with consideration of micro and macro-factors. Use of statistical software package SAS to analyze loan-level datasets. Suggested preparation: previous coursework or experience in calculus, linear algebra, linear regression, and introduction to programming.
Mathematics, "ACM653" (2011). Course Proposals. Paper 6.