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Interest Rates and Credit Risk

Key information

  • Module code:

    7CCMFM07

  • Level:

    7

  • Semester:

      Spring

  • Credit value:

    15

Module description

Syllabus

This module examines fixed income market and its market and credit risks. We look at market conventions and describe the principal types of traded products in fixed income market. We present different approaches to modelling interest rates and the resulting pricing and hedging of interest rate derivatives. We also consider different approaches to modelling credit risk and the valuation of credit derivatives.

Prerequisites

It would be helpful if a student has studied stochastic calculus (including Brownian motion, martingales, stochastic integration, Ito’s formula, martingale representation, Girsanov’s theorem, stochastic differential equations, Feynman-Kac formula etc) but they will be covered in the lectures. 

Assessment details

2 hr written examination or alternative assessment

Educational aims & objectives

By the end of the module the students will be able to:

1. understand fixed income market and its different financial product

2. describe and use various models to model interest and credit risks.

Teaching pattern

Two hours of lectures and one hour of tutorials per week

Department

Module description disclaimer

King’s College London reviews the modules offered on a regular basis to provide up-to-date, innovative and relevant programmes of study. Therefore, modules offered may change. We suggest you keep an eye on the course finder on our website for updates.

Please note that modules with a practical component will be capped due to educational requirements, which may mean that we cannot guarantee a place to all students who elect to study this module.

Please note that the module descriptions above are related to the current academic year and are subject to change.