BME

This is a course in two parts:

Part 1 deals with Portfolio Credit Risk; it focuses on practical applications, FRM and PRM exercises and the CreditMetrics and KMV models. The lecture notes can be obtained here:

Lecture 1: Portfolio Credit Risk

Additional documentation includes this excellent paper by M. Gordy

From CreditMetrics to CreditRisk+ and Back Again

Part 2 deals with Hedge funds, as a metaphor for Investment Risk Management and Asset Management methodologies. The lecture notes can be obtained here:

Lecture 2: Investment Risk Management