The primary focus of this module is to understand the role of central banks, financial institutions and financial intermediation. Central to the module is a portrayal of market participants and market practices, including (but not limited to ) central banks, monetary policy, economic and financial stabilization, the BIS and the Basle frameworks, credit risk, securitization and interest rate risk management. The Merton Model and the Bodie/Merton Functionalist Model are developed in this course.
Fixed Income Analysis
The Bodie/Merton Functional perspective
Moral hazard, adverse selection, and asymmetric information
Securitization and Covered Bonds
Credit Risk and the Merton Model
Banking and Interbank Lending
Central Banks, Financial Stability and Monetary Policy
Interest Rate Risk Management – Swaps, Swaptions, Caps, Floors and Collars
The Basel Framework and Capital Adequacy
Structured Finance
Volatility, Portfolio theory and VaR
GARCH, Copulas and Correlations
VBA and R modelling
Group discussions, group and individual exercises. Project based learning will be supported by formal lectures and computer labs. Students will also engage in technical problem solving outside class time with issues arising being analyzed and discussed in class. Students will be required to model a number of finance topics using spreadsheets/VBA, C++/C#, R and SQL.
| Module Content & Assessment | |
|---|---|
| Assessment Breakdown | % |
| Formal Examination | 60 |
| Other Assessment(s) | 40 |