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Fixed Income and Credit Risk

  • Enseignant(s):   M.Rockinger  
  • Titre en français: Structure par terme des taux d'intérêt et Risque de crédit
  • Cours donné en: anglais
  • Crédits ECTS: 6 crédits
  • Horaire: Semestre de printemps 2019-2020, 4.0h. de cours + 1.0h. d'exercices (moyenne hebdomadaire)
  •  séances
  • site web du cours site web du cours
  • Formations concernées:
    Maîtrise universitaire ès Sciences en finance, Orientation gestion des actifs et des risques

    Maîtrise universitaire ès Sciences en finance, Orientation finance d'entreprise

    Maîtrise universitaire ès Sciences en finance : Entrepreneuriat financier et science des données



Students 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 risk-management 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.


The course is structured around the following list of topics:

1. Stochastic calculus

2. Overview of fixed income instruments and relevant notation

3. Bootstrapping the term structure of interest rates

4. No arbitrage valuation and replicating portfolios

5. Interest rate modeling for valuation and hedging

6. Pricing and hedging of interst rate futures and options

7. Taking into account credit risk: intensity based modeling and structural models

TA is Alexey Ivashchenko. Extranef.


The 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)


Mathematics for Economics and Finance

Empirical Methods in Finance

Programming for Finance


1ère tentative

Ecrit 3h00 heures
Autorisée avec restrictions
Autorisée avec restrictions

There will be a non compulsory written mid-term exam, 1h30, closed book, non programmable calculators allowed. You will be provided with a sheet containing the essential formulas (this sheet can be consulted before the exam).

There will be a written closed book final exam at the end of the class.

The exam problems will follow the exercises and class lecture material.

No laptops or cell phones are permitted during exams.

If M is the mid-term grade, F the grade of the final exam, then the overall grade will be max(1/3M+2/3F, F). Thus, if the final is better than the mid-term, you win. In the case that the mid-term is better than the final, it may help to improve the grade by a bit.


Ecrit 3h00 heures
Autorisée avec restrictions
Autorisée avec restrictions

A written closed book exam. Non programmable calculators permitted, however no substitutes, e.g. cell phones or related devices, are going to be tolerated during exams. Only calculator TI-30X II (B or S) and HP 10s are allowed. A sheet with formulas will be provided.

For the make-up exam, the mid-term no longer counts. The final grade is the one of the make-up exam.

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