Due to the COVID-19 crisis, the information below is subject to change,
in particular that concerning the teaching mode (presential, distance or in a comodal or hybrid format).
5 credits
30.0 h
Q2
Teacher(s)
Van Wynendaele Pascal;
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. |
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
Due to the COVID-19 crisis, the information in this section is particularly likely to change.
Ex CathedraNo group work.
Evaluation methods
Due to the COVID-19 crisis, the information in this section is particularly likely to change.
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
