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Interest Rate Portfolio Management - ECFS908
This unit addresses the commercially important problem of interest rate risk management in a portfolio context. The unit explains the conceptualisation, measurement, display and modification of the risk characteristics of a portfolio of interest rate sensitive Financial instruments. The unit describes the construction/calibration of a zero coupon yield curve using observable market data. This yield curve underpins the valuation and risk management of traded cash flows. Topics covered include construction of the zero coupon discount function, identification of cash flows, valuing known and contingent cash flows, sensitivity analysis, etc. Across instrument hedging and basis risk minimisation strategies are discussed.
| Credit Points: | 2 |
| When Offered: | D1 - Day; Offered in Session 1, North Ryde D2 - Day; Offered in Session 2, North Ryde E1 - Evening; Offered in Session 1, North Ryde E2 - Evening; Offered in Session 2, North Ryde |
| Staff Contact(s): | Associate Professor Bernd Luedecke |
| Prerequisites: | |
| Corequisites: | |
| NCCW(s): | ECFS860 |
| Unit Designation(s): | |
| Assessed As: | Graded |
| Offered By: | Department of Applied Finance and Actuarial Studies Faculty of Business and Economics |
Timetable Information
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