Mục tiêu đề tài này xem xét các rủi ro lãi suất và kỹ thuật để quản lý rủi ro. Các chủ đề bao gồm cấu trúc động lực hạn (bao gồm lattices giá trái phiếu, tại chỗ và các mô hình lãi suất kỳ hạn), các kỹ thuật phân tích và số, các biện pháp thời gian, quan tâm đến chứng khoán phái sinh tỷ lệ (bao gồm các tùy chọn, tương lai và các giao dịch hoán đổi), và sự tương tác giữa rủi ro lãi suất và rủi ro tín dụng . . | THE UNIVERSITY OF NEW SOUTH WALES THE UNIVERSITY OF NEW SOUTH WALES SCHOOL OF BANKING FINANCE MFIN 6204 INTEREST RATE RISK MANAGEMENT Course Outline for Session 2 2005 LECTURER Office Telephone E-mail Dr. David Colwell QUAD 3065 9385-5851 CONSULTATION HOURS Wednesdays pm - pm or by prior arrangement. LECTURES Section A Mon. pm - pm 190-200 George Street OBJECTIVE This subject looks at interest rate risk 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 and swaps and the interaction between interest rate risk and credit risk. This course is both theoretical and practical the emphasis will be on problem-solving. ASSESSMENT Assessment is based on an assignment 15 marks a mid-session examination 40 marks to be held on Thursday 8 September 5 50 pm - 8 pm in class week 7 and a final examination 45 marks . The assignment will be spreadsheet based. To help you prepare for exams we will provide practice problems with solutions each week. You must achieve at least marks out of the 85 marks allocated to the two examinations in order to pass this subject. If you fail to obtain this cut-off mark you have not satisfactorily completed an essential component and you will be awarded an unsatisfactory fail. The assignment involves working with seven spreadsheets that will be provided to you. There will be one assignment due the last week of class. You will have approximately 3 weeks to do the assignment. You may work in groups of no more than 4. REQUIRED TEXT AND READINGS Lecture notes see hand-outs . REFERENCE BOOKS Sundaresan S. 2002 Fixed Income Markets and Their Derivatives 2nd Edition Southwestern. Note the lecture notes are primarily based on Sundaresan s book but I do not require that you buy the textbook. Hull . 2003 .
