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ECFS860: Swap Book Management |
This focuses on managing risks from making a market in swap products. Beginning with identifying sources of risk, zero-coupon yield curves are derived and applied to models for pricing of swaps. Pricing models are used to measure and control market risk in a swap portfolio. Case studies illustrate positioning the portfolio to reflect a market-maker's views, subject to risk constraints.
| Credit Points: | 2 |
| Contact Hours: | -- |
| When Offered: |
E1 - Evening; Offered in the first half-year
E2 - Evening; Offered in the second half-year
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| Staff Contact: |
Mr Max Morley |
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| Unit Designations: |
--
| | Assessed As: |
Graded
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| Offered By: |
EFS - Division of Economic and Financial Studies |
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| Unit Web Pages |
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No web pages available.
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| Timetable |
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No timetable available.
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