Fiches de cours

Interest rate and credit risk models

FIN-416

Enseignant(s) :

Filipovic Damir

Langue:

English

Remarque

Only in MA3

Summary

This course gives an introduction to the valuation of interest rate securities with and without credit risk, the management and hedging of bond portfolios and the valuation and usage of interest rate and credit derivatives.

Content

Topics include:

    Keywords

    interest rate risk, credit risk, term structure, bonds, interest rate swaps, caps and floors, short rate models, HJM models, bankruptcy, ratings, CDS, structural models, teduced-form models

    Learning Prerequisites

    Required courses

    Learning Outcomes

    By the end of the course, the student must be able to:

    Transversal skills

    Teaching methods

    Lectures, exercises, homework

    Expected student activities

    attendance at lectures, completing exercises

    Assessment methods

    Supervision

    Office hours No
    Assistants Yes
    Forum No

    Resources

    Virtual desktop infrastructure (VDI)

    No

    Bibliography

    L. Andersen and V. Piterbarg, Interest Rate Modeling, Atlantic Financial Press, 2010.

    D. Brigo and F. Mercurio, Interest rate models: Theory and practice, 2nd Edition, Springer Verlag, New York, 2007.

    D. Filipovic, Term-Structure Models, Springer Verlag, 2009.

    D. Lando, Credit Risk Modeling: Theory and Applications, Princeton University Press, 2004.

    A. McNeil, R. Frey, P. Embrechts, Quantitative Risk Management, Princeton University Press, 2015.

    Ressources en bibliothèque

    Dans les plans d'études

    Semaine de référence

     LuMaMeJeVe
    8-9     
    9-10  EXTRANEF_126EXTRANEF_126 
    10-11   
    11-12    
    12-13     
    13-14     
    14-15     
    15-16     
    16-17     
    17-18     
    18-19     
    19-20     
    20-21     
    21-22     
     
          Cours
          Exercice, TP
          Projet, autre

    légende

    • Semestre d'automne
    • Session d'hiver
    • Semestre de printemps
    • Session d'été
    • Cours en français
    • Cours en anglais
    • Cours en allemand