UCL - Finance and Risk Management

[ECON2331]

[30h] 5 credits

Teacher(s): Pierre Giot

Language: French

Level: Second

Aims
Main themes
Content and teaching methods
Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)

Aims

Gain a sound understanding of interest rates modelling (including the modelling of interest rates under uncer-tainty) and credit risk models.

Main themes

This course focuses on interest rates and credit risk modelling with a particular emphasis on yield curve theo-ries, Monte Carlo simulations and tree-based approaches. Regarding credit risk modelling we focus on ratings models, yield-spread models and credit scoring models.

Content and teaching methods

The table of contents is the following :
-Yield curve theories
-Monte Carlos simulations to model the uncertainty of interest rates
-Tree-based approaches to model the uncertainty of interest rates
-Credit risk models (ratings, yield-spread, credit scoring models)
-Introduction to futures and options

Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)

The course is mainly based on two book :
1) Santomero & Babbel : Financial Markets, Instruments & Institutions
2) Johnson : Bond evaluation, selection and management

There is a written exam at the end of the course.