5.00 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.
Learning outcomes
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
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
