Interest Rate Risk Management - FINS3636

Faculty: UNSW Business School

School: School of Banking and Finance

Course Outline: FINS3636 Course Outline

Campus: Sydney

Career: Undergraduate

Units of Credit: 6

EFTSL: 0.12500 (more info)

Indicative Contact Hours per Week: 3

Enrolment Requirements:

Prerequisite: FINS2624

CSS Contribution Charge: 3 (more info)

Tuition Fee: See Tuition Fee Schedule

Further Information: See Class Timetable

View course information for previous years.


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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