FINS3636 Interest Rate Risk Management

Feb 12, 2021 Course Guides, Derivatives

This course covers interest rate risk and risk management techniques. There is an emphasis on problem solving, yet the course covers theory as well as practical applications. The course introduces students to many interest rate products and identifies both how to price them and when to use them in hedging strategies. The topics covered in the course include the interaction between interest rate risk and credit risk, duration measures, term structure dynamics and numerical and analytical techniques.