Cours

FIN-416: Interest rate and credit risk models

Résumé

This course gives an introduction to the modeling of interest rates and credit risk. Such models are used for the valuation of interest rate securities with and without credit risk, the management and hedging of bond portfolios and the valuation and usage of interest rate and credit derivatives.

Séances de cours

Enseignant·e

Damir Filipovic

Damir Filipovic holds the Swissquote Chair in Quantitative Finance and is Swiss Finance Institute Professor at the Ecole Polytechnique Fédérale de Lausanne (EPFL), Switzerland. Prior to this, he was head of the Vienna Institute of Finance and professor at the University of Vienna. He previously held the chair of financial and insurance mathematics at the University of Munich, and he was on the faculty of Princeton University. He received his Ph.D. in mathematics from ETH Zurich in 2000. Damir Filipovic worked as a scientific consultant for the Swiss Federal Office of Private Insurance from 2003 to 2004. There he co-developed the Swiss Solvency Test, which defines the regulatory capital requirement for all Swiss based insurance companies and groups. He is on the editorial board of several academic journals. His research interests include the term structure of interest rates, credit and volatility risk, quantitative methods in risk management, and stochastic processes. His papers have been published in a variety of academic journals including the Journal of Financial Economics, Mathematical Finance, Finance and Stochastics, and the Annals of Applied Probability. He is the author of a textbook titled Term-Structure Models.

Source officielle

https://edu.epfl.ch/coursebook/fr/interest-rate-and-credit-risk-models-FIN-416

Page Moodle

http://go.epfl.ch/FIN-416

Graph Chat

Chattez avec Graph Search

Posez n’importe quelle question sur les cours, conférences, exercices, recherches, actualités, etc. de l’EPFL ou essayez les exemples de questions ci-dessous.

AVERTISSEMENT : Le chatbot Graph n'est pas programmé pour fournir des réponses explicites ou catégoriques à vos questions. Il transforme plutôt vos questions en demandes API qui sont distribuées aux différents services informatiques officiellement administrés par l'EPFL. Son but est uniquement de collecter et de recommander des références pertinentes à des contenus que vous pouvez explorer pour vous aider à répondre à vos questions.

Résumé

Séances de cours

Enseignant·e

Damir Filipovic

Source officielle

https://edu.epfl.ch/coursebook/fr/interest-rate-and-credit-risk-models-FIN-416

Page Moodle

http://go.epfl.ch/FIN-416

Cours associés (31)

MGT-301: Foundations in financial economics

The aim of this course is to expose EPFL bachelor students to some of the main areas in financial economics. The course will be organized around six themes. Students will obtain both practical insights through real-world examples and understand how one can ...

MGT-482: Principles of finance

The course provides a market-oriented framework for analyzing the major financial decisions made by firms. It provides an introduction to valuation techniques, investment decisions, asset valuation, financing decisions, and sustainable finance. ...

FIN-401: Introduction to finance

The course provides provides an introduction to valuation techniques, investment decisions, asset valuation and portfolio choice, financing decisions, derivatives pricing, and sustainable finance. ...

FIN-405: Investments

The course covers a wide range of topics in investment analysis ...

FIN-404: Derivatives

This course provides a detailed presentation of the standard models for the valuation and hedging of derivatives products such as European options, American options, forward contracts, futures contract and exotic options. ...

Afficher plus