1.
The learning objectives of this topic were made clear to me
a.
b.
c.
d.
e.
2.
This topic enabled me to achieve the learning objectives
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b.
c.
d.
e.
3.
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I received constructive feedback on my work

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e.
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Share Ratios
Summary
In the previous lecture we introduced dividend discount models. Although dividend
discount models are the fundamental approach to pricing shares they have inherent
limitations. Therefore, an alternative approach is presented in this l

How to Calculate the VarianceCovariance Matrix using Excel and
Visual Basic for Applications
Summary
The variance of a portfolio is a proxy to the riskiness of the portfolio. In the previous lecture on
multi-asset portfolio, we learnt how the variance-cov

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d.
e.
Strongly disagree
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Strongly Agree
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FORMULAE SHEET:
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t
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n
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D
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Share Ratios
Learning Objectives
To appreciate that accounting data can be transformed into
financial ratios.
To understand that financial ratios can be useful for aiding
investment decisions.
To know how to calculate various financial ratios and
understa

Futures and Options
Aim
To introduce the basic concepts of
a) futures and
b) options.
a) Futures
Learning Objectives for futures
Understand the difference between forwards and
futures.
Appreciate that the margining system that is
possible with futures

In-class discussion questions
The repricing model
Source: Saunders and Cornett (2014), C.8
1.
A bank has the following balance sheet:
Assets
Avg. Rate
Rate sensitive
6.25%
Fixed rate
7.50
Nonearning
Total
Avg. Rate
$550,000
755,000
Liabilities/Equity
7.75

In-class discussion questions on the maturity model
Source: Saunders and Cornett (2008), Chapter 8
1.
Nearby Bank has the following balance sheet (in millions):
Assets
Cash
5-year treasury notes
30-year mortgages
Total Assets
$60
$60
$200
$320
Liabilities

AFF5280
Institutional asset and liability management
Unit overview
Interest rate risk analysis:
(the re-pricing model)
Chief Examiner/Lecturer
o Shrimal Perera PhD, MPhil, BSc, GCHE, SA Fin, CFTP
n
n
n
n
9903 4455
Shrimal.Perera@monash.edu
Building H, 3.8

AFF5280
Institutional asset and liability management
Interest rate risk analysis:
(the maturity model)
Reference: Saunders and Cornett (2014), Chapter 8, Appendix 8A
The maturity model
oBook value accounting vis-vis marking to
market
oThe marking-to-marke

AFF5280
Institutional asset and liability management
Interest rate risk analysis:
(the duration model)
Hull (2010), Chapter 7
Saunders and Cornett (2008), Chapter 9
Lecture objectives
o Learn how the duration model can be used
to analyze the interest rate

Confirming Pages
Appendix 8A
Appendix
The Maturity Model 1
8A
The Maturity Model
book value
accounting
Accounting method
in which the assets
and liabilities of the
FI are recorded at historic values.
market value
accounting
Accounting method
in which the

Tutorial questions on the Repricing model
Source: Saunders and Cornett (2014), Ch. 8
2.
How has the increased level of financial market integration affected interest rates?
Increased financial market integration, or globalization, increases the speed with

BFF5280
Institutional asset and liability management
Unit Guide
Semester 1, 2014
Copyright Monash University 2014. All rights reserved. Except as provided in the Copyright Act 1968,
this work may not be reproduced in any form without the written permissio

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c.
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Strongly Agree
3.

1.
The learning objectives of this topic were made clear to me
a.
b.
c.
d.
e.
2.
This topic enabled me to achieve the learning objectives
a.
b.
c.
d.
e.
3.
Strongly disagree
Disagree
Neutral
Agree
Strongly Agree
I received constructive feedback on my work

1.
The learning objectives of this topic were made clear to me
a.
b.
c.
d.
e.
2.
This topic enabled me to achieve the learning objectives
a.
b.
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d.
e.
3.
Strongly disagree
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Strongly Agree
I received constructive feedback on my work

Name: Kevan Vuong
Authcate:kvuo5
Note:
There are errors in the videos for this spreadsheet so do not
blindly copy them! Think carefully about what you are doing
Variance-Covariance Calculations
Given:
BHP
9/28/2015
10/5/2015
10/12/2015
10/19/2015
10/26/20

Name:
Kevan Vuong
Authcate: kvuo5
Using Range().Cells()
Write "Hello" into each blue cell. You MUST use Range().Cells()
Hello
Hello
Hello
Hello
Hello
Hello
Below are returns for BHP and RIO. Copy the returns into the blue cells below.
You MUST use Range()

Name:
Kevan Vuong
Authcate: kvuo5
Columns and Descriptive Statistics
Create the Message Boxes to do the following tasks:
(1) Find the average of the numbers 1,2,3,4,5,6
(2) Find the sample standard deviation of the numbers 1,2,3,4,5,6
(3) Find the populat

Name: Kevan Vuong
Authcate:kvuo5
Note:
There are errors in the videos for this spreadsheet! Do not copy
the code on the video verbatim. You must think carefully about
what you are doing.
Variance-Covariance Calculations
Given:
BHP
9/28/2015
10/5/2015
10/1

Name:
Kevan Vuong
Authcate: kvuo5
Your First VBA Program
Follow the instructional video to create a Message Box that says "Hello World"
Create a Message Box that says "Goodbye Memorisation".
This time, there is nothing to copy verbatim. So you will have t

Name: Kevan Vuong
Authcate:kvuo5
Given:
Up
Down
10%
-3%
Bond price
1.06
Initial stock price
Interest rate
Exercise price
Problem I
50
6%
50
1
1.06
Calculate the two possible share prices based on the information given above (I.e. increase by 10% and
decre

Name: Kevan Vuong
Authcate:kvuo5
SUMMARY OUTPUT
Regression Statistics
Multiple R
0.959085
R Square
0.919845
Adjusted R Square
0.899806
Standard Error
0.003948
Observations
6
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
SS
MS
F Significance F

Name:
Kevan Vuong
Authcate: kvuo5
IF Statement Experimentation
The first part is not graded. The second part is.
First Part:
Use the following input and output cells to play with IF statements
Second Part:
Copy the returns for six stocks into the blue cel