{"ModuleCode":"QF5201","ModuleTitle":"Interest Rate Theory and Credit Risk","Department":"Mathematics","ModuleDescription":"This module is designed for graduate students in quantitative finance. It focuses on advanced topics in interest rate theory and credit risk modelling and emphasizes their analogies. The module covers the following major topics. Products of fixed-income markets, Short rate models, Heath-Jarrow-Morton framework, LIBOR market models. Financial instruments in credit risk management, Models of default: Firm value and first passage time models, intensity based models, models of credit rating migrations. The module also provides a discussion of advantages and shortcomings of synthetic credit-linked instruments; moreover, modeling dependence structure of default events and default contagion will be treated.","ModuleCredit":"4","Workload":"3-0-0-3-4","Prerequisite":"Departmental approval","Lecturers":["Steven Kou","Zhou Chao"],"IVLE":[{"Announcements":null,"Forums":[],"Workbins":[],"Webcasts":[],"Gradebooks":[],"Polls":[],"Multimedia":[],"LessonPlan":[],"ID":"1b2afeab-60fb-4d60-aca5-d7142ab4beca","CourseLevel":"1","CourseCode":"QF5201","CourseName":"INTEREST RATE THEORY AND CREDIT RISK","CourseDepartment":"","CourseSemester":"Semester 4","CourseAcadYear":"2014/2015","CourseOpenDate":"/Date(1435197660000+0800)/","CourseOpenDate_js":"2015-06-25T10:01:00","CourseCloseDate":"/Date(1438358400000+0800)/","CourseCloseDate_js":"2015-08-01T00:00:00","CourseMC":"0","isActive":"Y","Permission":"S","Creator":{"UserID":null,"Name":"Zhou Chao","Email":null,"Title":null,"UserGuid":"768fcc6c-2b47-4668-b199-e94fb58fd063","AccountType":null},"hasGradebookItems":true,"hasTimetableItems":true,"hasGroupsItems":false,"hasClassGroupsForSignUp":false,"hasGuestRosterItems":true,"hasClassRosterItems":true,"hasWeblinkItems":false,"hasLecturerItems":true,"hasDescriptionItems":true,"hasReadingItems":false,"hasAnnouncementItems":false,"hasProjectGroupItems":false,"hasProjectGroupsForSignUp":false,"hasConsultationItems":false,"hasConsultationSlotsForSignUp":false,"hasLessonPlanItems":false,"Badge":0,"BadgeAnnouncement":0,"WebLinks":[],"Lecturers":[{"ID":"1cb8668c-060a-407e-8f72-6c2b88819710","User":{"UserID":null,"Name":"Steven Kou","Email":null,"Title":null,"UserGuid":"37f11af0-dbc4-4379-875f-f6601f2df789","AccountType":null},"Role":"Co-Lecturer                                                                                         ","Order":1,"ConsultHrs":null},{"ID":"90acdc07-1035-4b4c-a135-d4585330f634","User":{"UserID":null,"Name":"Zhou Chao","Email":null,"Title":null,"UserGuid":"768fcc6c-2b47-4668-b199-e94fb58fd063","AccountType":null},"Role":"Lecturer                                                                                            ","Order":2,"ConsultHrs":null}],"Descriptions":[{"ID":"1e5f053b-8835-4692-be49-41f07234cfff","Title":"Learning Outcomes","Description":"<span style=\"color: rgb(0, 0, 0); font-size: 10pt; font-family: CMR10;\">The aim of the module is to help students understand the stochastic modeling of interest rates &amp; credit risks and the pricing of related derivatives.&nbsp;</span>","Order":1},{"ID":"2e5f053b-8835-4692-be49-41f07234cfff","Title":"Prerequisites","Description":"Departmental approval","Order":2},{"ID":"f388e267-6051-4bb5-abc9-f7eabb886403","Title":"Preclusions","Description":"NIL","Order":9},{"ID":"0a57772c-33d6-45e7-bfdc-3f0288875a6c","Title":"Workload","Description":"3-0-0-3-4<small><br><br>Workload Components : A-B-C-D-E \r\n<br>A: no. of lecture hours per week \r\n<br>B: no. of tutorial hours per week \r\n<br>C: no. of lab hours per week \r\n<br>D: no. of hours for projects, assignments, fieldwork etc per week \r\n<br>E: no. of hours for preparatory work by a student per week</small>","Order":10}],"ReadingFormatted":[],"ReadingUnformatted":[]}],"Timetable":[{"ClassNo":"SL1","LessonType":"Lecture","WeekText":"Every Week","DayText":"Tuesday","StartTime":"1900","EndTime":"2200","Venue":"S17-0512"},{"ClassNo":"SL1","LessonType":"Lecture","WeekText":"Every Week","DayText":"Wednesday","StartTime":"1900","EndTime":"2200","Venue":"S17-0512"},{"ClassNo":"SL1","LessonType":"Lecture","WeekText":"Every Week","DayText":"Thursday","StartTime":"1900","EndTime":"2200","Venue":"S17-0512"},{"ClassNo":"SL2","LessonType":"Lecture","WeekText":"Every Week","DayText":"Saturday","StartTime":"1000","EndTime":"1300","Venue":"S17-0512"},{"ClassNo":"SL2","LessonType":"Lecture","WeekText":"Every Week","DayText":"Saturday","StartTime":"1400","EndTime":"1700","Venue":"S17-0512"}],"LecturePeriods":["Thursday Evening","Wednesday Evening","Saturday Morning","Saturday Afternoon","Tuesday Evening"]}