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COURSEOUTLINE - Asset‐Liability Management COURSE OUTLINE...

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Unformatted text preview: Asset‐Liability Management COURSE OUTLINE ACTSC 445/845 Fall 2009 Instructor: David Saunders Office: MC 6081H Phone: (519) 888-4567 (Ext. 36811) Email: [email protected] Lectures: TTH – 1:00-2:20, MC 2065 Tutorial: M 5:30-6:20, MC 2066 Office Hours: W 1:00-2:30 or by appointment Course Description The course will cover basic topics in asset-liability management, including: 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 computational techniques 4. Credit risk, including copula based models Course Objectives The objectives of the course are to familiarize the students with modern techniques of asset-liability management and risk management. Students will be introduced to both the theoretical ideas behind the models, as well as practical aspects of implementing the models, and real-world examples. Required Text: Notes posted on the course webpage. Additional References: 1. F.
Fabozzi
(2005,
7th
ed.)
“The
Handbook
of
Fixed
Income
Securities”
 2. H.
Panjer
(editor)
“Financial
Economics:
With
Applications
to
Investments,
 Insurance
and
Pensions”,
The
Actuarial
Foundation,
Schaumburg,
IL,
1998.
 3. John
C.
Hull
(2005,
6th
ed)
“Options,
Futures,
and
Other
Derivatives”,
Prentice‐Hall.
 4. A.
McNeil,
G.
Frey
and
P.
Embrechts
“Quantitative
Risk
Management:
Concepts,
 Techniques
and
Tools”,Princeton
Series
in
Finance,
2004.
 GRADING SCHEME Assignments (4): 10% (Due Dates: Oct. 8, Oct. 27, Nov. 12, Dec. 1) Midterms (2): 30% (October 15 and November 19) Final: 60% 1. The midterms will take place during the regular lecture time. Rooms to be announced. 2. Students are expected to complete the work on the assignments independently. 3. Assignments should be submitted at the beginning of class time, on the day that they are due. Graded assignments will be returned during tutorial time, and any assignments that are not picked up will be kept in the instructor’s office thereafter. Assignments must be handed in on the due date, No credit will be given for late assignments. 4.
Assignments
may
require
some
programming
(R,
Matlab,
C/C++,
Java,
or
whatever
works
 for
you).
You
can
find
some
help
at
www.math.uwaterloo.ca/˜
clemieux/computing.html.
 5. If you miss either an assignment due date or a midterm, you need to have a valid and documented excuse stating that you were unable to complete the work. In
particular,
if
 you
are
sick
you
need
to
present
a
“Verification
of
Illness
Form”
filled
out
and
signed
by
a
 physician
(automatically
done
if
you
go
to
the
campus
clinic)
to
your
instructor
within
3
 working
days
of
the
exam
or
assignment
due
date.
You
also
need
to
send
an
email
to
the
 instructor
within
24
hours
of
the
exam/assignment
to
let
me
know
that
you
were
unable
to
 complete
the
work.
You
should
be
aware
that
presenting
the
Verification
of
Illness
Form
 within
the
above
deadlines
does
not
guarantee
that
you
will
be
excused
from
the
work.
If
 you
present
evidence
satisfying
all
of
the
above
requirements,
the
weight
of
the
exam
or
 assignment
will
be
shifted
to
the
final
exam.
 
 6.
If
you
miss
the
final
exam
and
present
satisfying
evidence
as
above,
a
make‐up
exam
will
 be
given
to
you.
You
will
receive
a
24‐hour
notice
by
email
(using
the
email
address
that
you
 used
to
let
us
know
about
your
absence
from
the
exam)
giving
you
the
time
and
location
of
 the
make‐up
final
exam.
The
make‐up
final
exam
will
be
scheduled
at
a
time
that
does
not
 conflict
with
your
other
exams.
The
make‐up
final
exam
may
be
either
oral
or
written.
An
 INC
grade
is
only
given
in
very
exceptional
circumstances,
when
a
student
is
unable
to
write
 exams
for
the
remaining
exam
period
(and
has
documented
evidence
of
that),
had
 maintained
an
average
of
at
least
70%
in
the
course,
and
had
missed
components
having
a
 total
weight
of
less
than
10%
of
the
final
grade.
 
 7.
Requests
for
re‐grading
an
assignment
or
a
test
must
be
made
within
one
week
after
the
 assignments/test
have
been
given
back.
To
have
your
assignment/test
considered
for
re‐ grading,
the
assignment/test
must
be
written
in
ink.
Note
that
the
instructor
reserves
the
 right
to
re‐grade
the
entire
assignment/test
and
raise
or
lower
the
grades
originally
 assigned.
 IMPORTANT NOTES 
 Academic Integrity: In order to maintain a culture of academic integrity, members of the University of Waterloo community are expected to promote honesty, trust, fairness, respect and responsibility. [Check www.uwaterloo.ca/academicintegrity/ for more information.] Grievance: A student who believes that a decision affecting some aspect of his/her university life has been unfair or unreasonable may have grounds for initiating a grievance. Read Policy 70, Student Petitions and Grievances, Section 4, www.adm.uwaterloo.ca/infosec/Policies/policy70.htm. When in doubt please be certain to contact the department’s administrative assistant who will provide further assistance. Discipline: A student is expected to know what constitutes academic integrity [check www.uwaterloo.ca/academicintegrity/] to avoid committing an academic offence, and to take responsibility for his/her actions. A student who is unsure whether an action constitutes an offence, or who needs help in learning how to avoid offences (e.g., plagiarism, cheating) or about “rules” for group work/collaboration should seek guidance from the course instructor, academic advisor, or the undergraduate Associate Dean. For information on categories of offences and types of penalties, students should refer to Policy 71, Student Discipline, www.adm.uwaterloo.ca/infosec/Policies/policy71.htm. For typical penalties check Guidelines for the Assessment of Penalties, www.adm.uwaterloo.ca/infosec/guidelines/penaltyguidelines.htm. Appeals: A decision made or penalty imposed under Policy 70 (Student Petitions and Grievances) (other than a petition) or Policy 71 (Student Discipline) may be appealed if there is a ground. A student who believes he/she has a ground for an appeal should refer to Policy 72 (Student Appeals) www.adm.uwaterloo.ca/infosec/Policies/policy72.htm. Note for Students with Disabilities: The Office for Persons with Disabilities (OPD), located in Needles Hall, Room 1132, collaborates with all academic departments to arrange appropriate accommodations for students with disabilities without compromising the academic integrity of the curriculum. If you require academic accommodations to lessen the impact of your disability, please register with the OPD at the beginning of each academic term. ...
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This note was uploaded on 10/30/2009 for the course ACTSC 331 taught by Professor David during the Spring '09 term at Waterloo.

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