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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 2020-2021, 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 : Entrepreneuriat financier et science des données

    Maîtrise universitaire ès Sciences en finance, Orientation gestion des actifs et des risques

    Maîtrise universitaire ès Sciences en finance, Orientation finance d'entreprise
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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 Georgii Zvonka Extranef.


The primary textbook references are:

Steven Shreve, "Stochastic Calculus for Finance II: Continuous-Time Models", 2004, Springer.

Pietro Veronesi, "Fixed Income Securities: Valuation, Risk, and Risk Management", John Wiley and Sons, 2010.

Darrell Duffie, Kenneth J. Singleton, "Credit Risk", Princeton University Press, 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)


Mathematics for Economics and Finance

Empirical Methods in Finance

Programming for Finance


1ère tentative

Ecrit 4h00 heures

There will be a written on-line individial exam, students get 4 hours to solve the problems and to insert the solutions into Moodle.

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


Ecrit 4h00 heures

Same as main exam.

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