Specialist track, course code FI
Fixed Income and Credit
Fixed income and credit for quants: how bonds, mortgage pools and credit derivatives are priced, how rate and credit risk are measured and hedged, and the models banks use to value both.
Fixed income is the largest securities market in the world and the one quant interviews test most unevenly. Equities get the attention, but every price in a bank is discounted on a yield curve, every pension fund hedges its rate risk, and the 2008 crisis was a crisis of mortgage and credit models. This track covers all of it.
What does the fixed income track cover?
Bond Pricing, Yield Curves and Mortgage-Backed Securities covers prices and yields, duration and convexity, curve building and curve trades, then pools, prepayment, option-adjusted spread and the lessons of 2008. At researcher level, Credit Default Swaps, Copulas and Counterparty Risk covers hazard rates, the CDS curve and the standard model, default correlation and the pricing of credit tranches, and CVA. Interest Rate Models covers short-rate models, the LIBOR and SOFR market models and swaption pricing.
How do these courses connect to the rest of the catalog?
Bond pricing is part of the Certificate in Systematic Investing, the Certificate in Derivatives Pricing, the Certificate in Quantitative Portfolio Management and the Certificate in Quantitative Risk Management. The credit course sits in the risk certificate, where it joins value at risk, model risk and Basel capital. Interest rate models sit in the derivatives certificate. Every course here therefore counts toward the Professional Diploma in Algorithmic Trading or the Fellowship in Computational Finance.
How are the courses taught?
Like every course at the Institute: an audio edition for the general subject, explainer films for the ideas that are easier seen than heard, and extensive workbooks with worked examples, notebooks and cheat sheets. Written work receives written feedback from the faculty, and each paid course taken as part of a Certificate, Diploma or Fellowship ends in a proctored online exam.
Practitioner courses in this track
Lab-based courses. You build, test and cost real strategies and systems on market data.
Researcher courses in this track
Proof-level courses. Stochastic models, estimation theory and the literature behind each method.
- Credit Default Swaps, Copulas and Counterparty Risk Credit default swaps from the contract to the model: what is protected and paid, hazard rates and survival curves, bootstrapping a CDS curve with the ISDA standard model, index products, and the basis between bonds and CDS. It also teaches copula models for portfolio credit risk and counterparty credit risk and CVA.
- Interest Rate Models The models banks use to price options on interest rates: short-rate models from Vasicek to Hull-White, the Heath-Jarrow-Morton framework, the market models behind caps and swaptions, the move from LIBOR to SOFR, and calibration to market prices.
Credentials that use this track
- Certificate in Systematic InvestingSeven courses and a capstone on rule-based investing over months and years: asset pricing, trend, factors, carry, allocation and the portfolio construction and risk control that hold them together.
- Certificate in Quantitative Portfolio ManagementSeven courses and a capstone on building portfolios with numbers: mean-variance and its failures, robust optimization, Black-Litterman views, factors, asset allocation, bonds, attribution and risk.
- Certificate in Quantitative Risk ManagementA financial risk management certification in six courses and a capstone on measuring and governing market and credit risk: VaR and expected shortfall, volatility models, stress tests, credit and counterparty risk, bank capital and the validation of the models themselves.
- Certificate in Derivatives PricingDerivative pricing in seven courses and a capstone, from stochastic calculus to stochastic volatility and interest rate models: how options are priced, hedged, traded and calibrated to the market.
- Professional Diploma in Algorithmic TradingThe top credential on the practitioner path. Twenty-one courses and an 80-hour capstone covering everything between the mathematics and a book you could defend to a risk committee.
- Fellowship in Computational FinanceThe top credential on the researcher path. Twenty-one courses and a dissertation supervised in writing and examined by two faculty members.
Questions applicants ask
What is fixed income?
Fixed income is the market for debt: government and corporate bonds, mortgage-backed securities, money-market instruments and the derivatives written on them. It is larger than the stock market, and its yield curve sets the discount rate for every other price.
Do I need fixed income if I want to trade equities?
You need the curve and the idea of duration, which the first course gives. The later courses matter most for roles in rates, credit, risk, model validation and multi-asset portfolios.