Objectives

This course analyzes the management of financial institutions, particularly banks and thrifts. As these institutions are viewed largely as portfolios of bonds with various interest rate risks, credit risks, and options, the course could alternatively be called "Bond Markets". The course assumes knowledge of investments and futures and options, as well as some basic statistics and calculus. The course will be quantitative and data-based but practical applications will be pervasive. This is treated as an advanced second year MBA elective course, so a research paper is expected; this may be done in groups of 2-3 people. Additionally, there will probably be a quiz, 1-2 problem sets, and a single major exam given prior to the end of the course.

Selected Topics

-Duration
-Convexity
-Term Structure Models
-Mortgages, Corporate Bonds and Their Option Components
-Bank Risk Analysis and Management
-Regulation of Financial Institutions

Course lecture notes.

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