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Economics of Finance and Risk Management [ LECON2331 ]


5.0 crédits ECTS  30.0 h   2q 

Teacher(s) Giot Pierre ;
Language English
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


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