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Fixed Income and Credit Risk

  • Enseignant(s): A.Neklyudov
  • Titre en français: Structure par terme des taux d'intérêt et Risque de crédit
  • Cours donné en: anglais
  • Crédits ECTS: 6 crédits
  • Horaire: Semestre d'automne 2013-2014, 4.0h. de cours + 1.0h. d'exercices (moyenne hebdomadaire)
  •  séances
  • site web du cours site web du cours
  • Formation concernée: Maîtrise universitaire ès Sciences en finance

Objectifs

Students will learn the basic concepts of fixed income instruments: various types of interest rates, rate curves, duration and convexity of portfolios, as well as empirical methods of extracting this information from the real market quotes. The interest rate models featured in the course would include: Merton, Vasicek, Cox Ingersoll and Ross, Ho and Lee, Hull and White, and others. Students will see how these models allow market participants to price various types of fixed income instruments.

Contenus

The course is structured around the following list of 7 topics:

1. Overview of fixed income instruments and relevant notation

2. Empirical methods of describing observed market data

3. No arbitrage valuation and replicating portfolios

4. Interest rate modeling for valuation and hedging

5. Risk-neutral measure for valuation and hedging

6. OTC markets and illiquid instruments: illiquidity discount

7. Taking into account credit risk: modeling approaches

Références

The primary textbook references:

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:

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)

Brigo D. and F. Mercurio, "Interest Rate Models: Theory and Practice", Springer Finance, 2001. (Brigo, Mercurio, 2001)

Pré-requis

Mathematics for Economics and Finance

Empirical Methods in Finance

Programming for Finance

Evaluation


 

1ère tentative


 
Examen:
Ecrit 2h00 heures
Documentation:
Autorisée avec restrictions
Calculatrice:
Autorisée avec restrictions
Evaluation:

There will be not compulsory written mid-term exam, 1.5 hours, closed book, non programmable calculators allowed. You are allowed to bring a single one-sided sheet of A4 paper containing formulas for your exclusive use.

There will be a written closed book final exam at the end of the class. 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. You are allowed to bring a single one-sided sheet of A4 paper containing formulas for your exclusive use.

The exam problems in general will follow the group assignment problems and class lecture material. No laptops or cell phones are permitted during exams.


 

Rattrapage


 
Examen:
Ecrit 2h00 heures
Documentation:
Autorisée avec restrictions
Calculatrice:
Autorisée avec restrictions
Evaluation:

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. You are allowed to bring a single one-sided sheet of A4 paper containing formulas for your exclusive use.



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