Fixed Income and Credit Risk
 Teacher(s): M.Rockinger
 Course given in: English
 ECTS Credits: 6 credits
 Schedule: Spring Semester 20182019, 4.0h. course + 1.0h exercices (weekly average)
 séances
 course website

Related programmes:
Master of Science (MSc) in Finance : Financial Entrepreneurship and Data Science
Master of Science (MSc) in Finance, Orientation Corporate Finance
Master of Science (MSc) in Finance, Orientation Asset and Risk Management
ObjectivesStudents will learn the basis of stochastic calculus and the main concepts of fixed income instruments: types of interest rate quotes, rate curves, duration. The course will cover the following interest rate models: Merton, Vasicek, Cox, Ingersoll and Ross, Ho and Lee, Hull and White, as well as others. Students will see how these models facilitate pricing of fixed income instruments and riskmanagement by market participants. The indirect goal of the course is to improve your knowledge so that advanced textbooks such as the one by Brigo and Mercurio: "Interest Rate Models  Theory and Practice" become accessible.
ContentsThe course is structured around the following list of topics: 1. Overview of fixed income instruments and relevant notation 2. Stochastic calculus and stochastic calculs again 3. No arbitrage valuation and replicating portfolios 4. Interest rate modeling for valuation and hedging 5. Bootstrapping the term structure of interest rates and multicurve environment 6. Taking into account credit risk: intensity based modeling and structural models
TA is Alexey Ivashchenko. Extranef. ReferencesThe primary textbook references are: Michael Rockinger, "Fixed Income", a polycopie which may be purchased at the Service des Polycopiés, Anthropole, UNIL. Pietro Veronesi, "Fixed Income Securities: Valuation, Risk, and Risk Management", John Wiley and Sons, 2010. (Veronesi 2010) Darrell Duffie, Kenneth J. Singleton, "Credit Risk", Princeton University Press, 2003. (Duffie, Singleton 2003) Additional textbook references: Brigo D. and F. Mercurio, "Interest Rate Models: Theory and Practice: With Smile, Inflation and Credit", Springer Finance, 2006. (Second Editon). John C. Hull, "Options, Futures and Other Derivatives", 7th Edition, Prentice Hall, 2008. (Hull 2008) Frank Fabozzi, Steven Mann, "The Handbook of Fixed Income Securities", John Wiley and Sons, 8th edition, McGraw Hill, 2012. (Fabozzi, Mann 2012)
PrerequisitesMathematics for Economics and Finance Empirical Methods in Finance Programming for Finance EvaluationFirst attempt
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