Note from June 29, 2020
Although we do not yet know how long the social distancing related to the Covid-19 pandemic will last, and regardless of the changes that had to be made in the evaluation of the June 2020 session in relation to what is provided for in this learning unit description, new learnig unit evaluation methods may still be adopted by the teachers; details of these methods have been - or will be - communicated to the students by the teachers, as soon as possible.
Although we do not yet know how long the social distancing related to the Covid-19 pandemic will last, and regardless of the changes that had to be made in the evaluation of the June 2020 session in relation to what is provided for in this learning unit description, new learnig unit evaluation methods may still be adopted by the teachers; details of these methods have been - or will be - communicated to the students by the teachers, as soon as possible.
5 credits
30.0 h
Q2
Teacher(s)
Giot Pierre;
Language
English
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
At the end of this learning unit, the student is able to : | |
| 1 | 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”.
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
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
Teaching methods
Ex Cathedra
No group work.
No group work.
Evaluation methods
Written exam (2H).
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).
Bibliography
Santomero & Babbel: Financial markets, instruments and institutions (McGraw-Hill). Johnson: Bond evaluation, selection and management (Wiley).
Faculty or entity
ECON
