Course Schedule and Catalog

Department: Management

Grade Mode: Standard Letter

Course Type: Lecture

Credit Hours: 1.5

Description: This class explores the use of bonds and fixed income derivatives to manage interest and credit risks. The focus will be on applications using these securities, rather than their valuation, although we will develop and use models to correctly price instruments such as interest rate and asset swaps, caps, and structured notes. In addition, we will discuss models of credit risk and applications of the methods developed in class for evaluating the risk in complex structured swaps and risky sovereign debt. Throughout, the emphasis in the class will be on practical applications of the analytical concepts to real data and securities.