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Instructor email: rb5407@nyu.edu Office: 1 Metrotech, 10 th Floor Office hours: By Zoom appointment, or in-person appt Location/Time: 2 MetroTech 811 6:00-8:41 PM Thursday FRE-GY 7841 introduces financial engineers to the development and analysis of systematic credit investments in the corporate credit markets including capital structure arbitrage and factor-based investment strategies.Due to the increased availability of corporate bond data and enhanced price transparency, algorithmic credit investments have been experiencing a growing interest among the investor community, and both hedge funds and asset management firms have been heavily investing in the infrastructure to offer such systematic credit investment strategies.In this course, we will first start with the analysis of basis trading arbitrage between credit default swaps and corporate bonds, then to capital structure arbitrage strategies including convertible bonds versus equity and senior debt versus junior debt.Finally, we will address factor investing in the credit markets which has generated significant interest by market participants and will explore the unique challenges in its implementation in this asset class.
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