Handbook - Interest Rate Risk Management

There is a more recent version of this academic item available.

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.

Conditions for Enrolment

Prerequisite: FINS2624

Delivery

In-person - Standard (usually weekly or fortnightly)

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Course Outline

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FINS3636 Course Outline

Fees

Type	Amount
Commonwealth Supported Students (if applicable)	$1829
Domestic Students	$5730
International Students	$5730

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Pre-2019 Handbook Editions

Access past handbook editions (2018 and prior)

Pre-2019 Handbook Editions