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Detalhe da Disciplina
Curso: Pós-Graduação em Mercados e Riscos Financeiros
Unidade curricular: Gestão de Activos e Passivos
Semestre: Primavera
Número de créditos: 7,5
Docentes: 
João Pedro Vidal Nunes
 (Docente responsável)

Número de horas de aula por semana: 2.00
Objetivos da unidade curricular:

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).

Requisitos de frequência:

NA

Língua de ensino: Português/Inglês

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