Asset-Liability and Derivative Models - ACTL3182
Faculty: UNSW Business School
School: School of Risk and Actuarial Studies
Course Outline: ACTL3182 Course Outline
Campus: Sydney
Career: Undergraduate
Units of Credit: 6
EFTSL: 0.12500 (more info)
Indicative Contact Hours per Week: 4
Enrolment Requirements:
Prerequisite: ACTL2111 and ACTL2102
Equivalent: ACTL5109
CSS Contribution Charge: 3 (more info)
Tuition Fee: See Tuition Fee Schedule
Further Information: See Class Timetable
View course information for previous years.
Description
Topics covered include; risk and utility; risk measures; mean variance models; factor models; asset liability models using portfolio selection models; equilibrium and arbitrage-free valuation; valuation of derivatives; term structure models; credit risk models and actuarial stochastic investment models and their application. The topics will be illustrated with applications to the valuation and risk management of insurance and superannuation contracts especially those with embedded options and financial guarantees - with a particular focus on the inadequacies of the models for investment risk management. The course will include case studies on investment and derivative disasters. This course will cover the requirements for the Actuaries Institute CT8 course and students gaining at least a credit assessment will be recommended for exemption from the CT8 course.