Economics of Finance and Risk Management [ LECON2331 ]
5.0 crédits ECTS
30.0 h
2q
| Teacher(s) |
Giot Pierre ;
|
| Language |
English
|
Place
of the course |
Namur
|
| 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”.
|
| Content |
The table of contents is the following :
-Yield curve theories
-Monte Carlos simulations to model the uncertainty of interest rates
-Tree-based approaches to model the uncertainty of interest rates
-Credit risk models (ratings, yield-spread, credit scoring models)
-Introduction to futures and options
|
| Other information |
The course is mainly based on two book :
1) Santomero & Babbel : Financial Markets, Instruments & Institutions
2) Johnson : Bond evaluation, selection and management
There is a written exam at the end of the course.
|
Faculty or entity
in charge |
> ECON
|
|
|
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