Course Outline

Course Outline - ACTSC 445/845: Asset-Liability Management...

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Unformatted text preview: ACTSC 445/845: Asset-Liability Management Spring 2009 Instructor: Christiane Lemieux, MC 6092b, ext. 37227, Class Times: MC 2066, MWF 11:30am-12:20pm Tutorial: MC 2066, F 4:30-5:20pm Office Hours: WTh 1-3pm (or by appointment) Pre-requisites: ACTSC 231 and 371, and (STAT 330 & 333, or STAT 334) Course webpage: Angel Course Environment: Syllabus 1. Fixed-income securities, duration, convexity, immunization strategies 2. Interest rate models, pricing interest-rate derivatives 3. Risk measures, including value-at-risk: models and computing techniques 4. Credit risk, including copula-based models References Notes will be posted on the courses web page. Additional references that may be useful are: Fabozzi (2005, 7th ed.) The Handbook of Fixed Income Securities H. Panjer (editor) Financial Economics: With Applications to Investments, Insurance and Pen- sions , The Actuarial Foundation, Schaumburg, IL, 1998. John C. Hull (2005, 6th ed) Options, Futures, and Other Derivatives , Prentice-Hall. McNeil, Frey and Embrechts Quantitative Risk Management: Concepts, Techniques and Tools , Princeton Series in Finance, 2004. Course Evaluation ACTSC 445 ACTSC 845 Assignments (4) 15% 15% Midterms (2) 25% 25% (June 12 and July 17) Project- 10% Final 60% 50% Important Notes: 1. Lecture notes will be posted on the course webpage....
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This note was uploaded on 06/27/2009 for the course ACTSC 445 taught by Professor Christianelemieux during the Spring '09 term at Waterloo.

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Course Outline - ACTSC 445/845: Asset-Liability Management...

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