2010 Course Handbook
ECFS860: Swap Book Management
This unit focuses on managing risks from making a market in swap products. Beginning with identifying sources of risk, zero-coupon yield curves are derived and applied to pricing of swaps. Pricing models are used to measure and control market risk in a swap portfolio. Case studies illustrate positioning the portfolio to reflect a market-maker's views, subject to risk constraints.
| Credit Points: | 2 |
| Contact Hours: | -- |
| When Offered: | E1 - Evening; Offered in the first half-year |
| Staff Contact: | Dr Bernd Luedecke |
| Prerequisites: | (Admission to Master of Applied Finance or Postgraduate Certificate in Applied Finance) and (ECFS867 and ECFS868 with SNG of 60) |
| Corequisites: | |
| NCCWs: | |
| Unit Designations: | -- |
| Assessed As: | Graded |
| Offered By: |
Department of Applied Finance and Actuarial Studies Faculty of Business and Economics |