Finance and Risk Management [ LECON2331 ]
5.0 crédits ECTS
30.0 h
| Teacher(s) |
Giot Pierre ;
|
| Language |
French
|
Place
of the course |
Namur
|
| 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.
|
| Aims |
Gain a sound understanding of interest rates modelling (including the modelling of interest rates under uncer-tainty) and credit risk models.
|
| Content |
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 |
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.
|
Cycle et année
d'étude |
> Master [120] in Economics: General
> Master [60] in Economics : General
|
Faculty or entity
in charge |
> ECON
|
<<< Page précédente
|
