Interest Rate Risk Management

UNSW Sydney

Course Description

  • Course Name

    Interest Rate Risk Management

  • Host University

    UNSW Sydney

  • Location

    Sydney, Australia

  • Area of Study

    Accounting, Business, Finance, Financial Management

  • Language Level

    Taught In English

  • Prerequisites

    FINS2624

  • Course Level Recommendations

    Upper

    ISA offers course level recommendations in an effort to facilitate the determination of course levels by credential evaluators.We advice each institution to have their own credentials evaluator make the final decision regrading course levels.

    Hours & Credits

  • Credit Points

    6
  • Recommended U.S. Semester Credits
    3 - 4
  • Recommended U.S. Quarter Units
    4 - 6
  • Overview

    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.

Course Disclaimer

Courses and course hours of instruction are subject to change.

Credits earned vary according to the policies of the students' home institutions. According to ISA policy and possible visa requirements, students must maintain full-time enrollment status, as determined by their home institutions, for the duration of the program.