Economics of Finance and Risk Management - UNamur

Teacher(s)

Giot Pierre ;

Language

Anglais

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.

The contribution of this Teaching Unit to the development and command of the skills and learning outcomes of the programme(s) can be accessed at the end of this sheet, in the section entitled “Programmes/courses offering this Teaching Unit”.

Evaluation methods

Written exam (2H).

Teaching methods

Ex Cathedra

No group work.

Content

The term structure of interest rates

Modelling interest rates risk (trees, Monte Carlo simulations)

One-factor and two-factor interest rates models

Credit risk, including the KMV approach

Introduction to options and futures

Bibliography

Santomero & Babbel: Financial markets, instruments and institutions (McGraw-Hill). Johnson: Bond evaluation, selection and management (Wiley).

Other information

Objectifs : Advanced finance course focusing mainly on interest rate risk and credit risk. The course also deals extensively with simulation methods in finance (trees, Monte Carlo simulations).

Faculty or entity<

> ECON