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Fixed Income and Credit Risk

  • Teacher(s):   M.Rockinger  
  • Course given in: English
  • ECTS Credits: 6 credits
  • Schedule: Spring Semester 2019-2020, 4.0h. course + 1.0h exercices (weekly average)
  •  sessions
  • site web du cours course website
  • Related programmes:
    Master of Science (MSc) in Finance, Orientation Asset and Risk Management

    Master of Science (MSc) in Finance, Orientation Corporate Finance

    Master of Science (MSc) in Finance : Financial Entrepreneurship and Data Science



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


First attempt

Written TBA hours

SUMMER 2020, due to coronavirus

There will be a written on-line individial exam, students get 24 hours to solve the problems and to insert the solutions into Moodle.

The exam is calibrated as to take 3h under normal condition.


Written 3h00 hours
Allowed with restrictions
Allowed with 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.

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