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 Interest Rate Risk Management - FINS3636
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Contact: Colwell,David Bryan
 
 
Campus: Kensington Campus
 
 
Career: Undergraduate
 
 
Units of Credit: 6
 
 
EFTSL: 0.125 (more info)
 
 
Contact Hours per Week: 3
 
 
Enrolment Requirements:
 
 
Prerequisite: FINS2624
 
 
Session Offered: See Class Timetable
 
 
Fee Band: 2 (more info)
 
  

Description

Looks at interest rate risk (IRR) and techniques for managing risk. Topics covered include term structure dynamics (including bond price lattices, spot and forward rate models), analytical and numerical techniques, duration measures, interest rate derivative securities (including options, futures, caps, floors and swaps), mortgage-backed securities and their derivatives, portfolio management, value-at-risk, and the interaction between IRR and credit risk. In discussing interest-rate derivatives, the primary emphasis is on the Hull-White model, but other models, such as the models of Ho-Lee, Cos-Ingersoll-Ross and Heath-Jarrow-Morton are discussed.

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