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 include construction of the zero coupon discount function, identification of cash flows, valuing known and contingent cash flows, and sensitivity analysis. Across instrument hedging and basis risk minimisation... -- Course Website
Instructor: Associate Professor Bernd Luedecke
Prerequisites: (Admission to MAppFin or PGCertAppFin) and (ECFS868 with SNG of 60)<br/>
