This course is designed to set out institutional structures that underpin monetary policy, banking, finance, bond trading, mortgage origination, securitization, credit risk management and interest rate risk management. The course is mainly qualitative in treatment of institutions. Computational elements do however apply to fixed income analysis, interest rate risk management, swaps etc.
Adverse Selection, Moral Hazard and Assymmetric Information
Introduction to Spreadsheet modeling
Fixed Income Analysis, Public Finance and Sovereign Debt
Duration and Interest Rate Hedging
Yield Curve construction and Forward rates
Credit Risk and Credit Ratings
CDOs, CDSs
Securitization and Pfandbriefe markets
Exchanges, Brokers, Dealers and Clearinghouses
Monetary Policy and Central Banking
Inflation Targeting and the Taylor Rule
The Basle Treaties
FRAs, Swaps and Swaptions
The Black (1976) Model and Vasicek
Portfolio Theory - Volatility - Value at Risk
Value at Risk and Portfolio Theory
Banks and Investment Banks
Insurance and Solvency II
Pensions
Hedge and Mutual Funds
GARCH, Correlations and Copulas
Teaching methods will include lectures and tutorials. Students will be directed towards problem-solving exercises in groups, that are principally aimed at revealing aspects of risk management for Financial Institutions. Students will be encouraged to present their findings in class. Computer labs will also be used through the course to provide a hands-on approach to learning
| Module Content & Assessment | |
|---|---|
| Assessment Breakdown | % |
| Formal Examination | 60 |
| Other Assessment(s) | 40 |