Gestão de Activos e Passivos

Objectivos

This course is devoted to the management of interest rate risk through interest rate derivatives. The financial derivatives covered in this course include futures contracts and futures options on Treasury bonds, futures options on short-term interest rates, and OTC caps, floors, collars and swaptions. We start by defining ALM strategies for multiple liabilities through the spot market for Treasury bonds. Then, futures contracts will be included into the hedging portfolio in order to adjust duration through lower transaction costs. Concerning the short-end of the yield curve, futures options on 3-month interest rates will be used to construct synthetic caps, floors and collars that guarantee maximum or minimum interest rates for floating rate borrowing or lending structures. For medium or long term exposures, OTC caps, floors, collars and swaptions will be used and priced through the Market Model. The course is structured along the lines of the Financial Risk Manager (FRM®) Program Manual of the Global Association of Risk Professionals (GARP).

Caracterização geral

Código

400063

Créditos

7.5

Professor responsável

João Pedro Vidal Nunes

Horas

Semanais - A disponibilizar brevemente

Totais - A disponibilizar brevemente

Idioma de ensino

Português. No caso de existirem alunos de Erasmus, as aulas serão leccionadas em Inglês

Pré-requisitos

NA

Bibliografia

  • Martellini L., P. Priaulet, and S. Priaulet (2003). Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies (1st Ed), John Wiley & Sons.
  • Hull, J. (2014). Options, Futures, and Other Derivatives (9th Edition). New York: Pearson Prentice Hall.
  • Jha S. (2011). Interest Rate Markets: A Practical Approach to Fixed Income (1st Edition), Wiley.
  • Veronesi (2011). Fixed income securities: valuation, risk, and risk management. John Wiley & Sons.

Método de ensino

The course will be based on 15 lectures, 2 per week. During classes, real-life examples based on traded products and on financial data collected from the Bloomberg system will be presented. A wide variety of teaching methodologies will be employed, including theoretical expositions, problem solving activities, and open class discussions.

Método de avaliação

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Conteúdo

Interest rate risk immunization

  1. Multi-period immunization
  2. ALM

 Futures on bonds

  1. Definitions
  2. Conversion factors
  3. Cheapest-to-deliver
  4. Pricing
  5. Hedging

Traded options on short-term interest rates

  1. Description
  2. Pricing under stock-style margining
  3. Pricing under Futures-Style margining
  4. Hedging of interest rate risk

Over-the-counter options on interest rates

  1. Market model
  2. Caps, floors e collars
  3. Swaptions

Cursos

Cursos onde a unidade curricular é leccionada: