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Lehrende: Prof. Dr. Christian Koziol
Veranstaltungsart:
Seminar / Übung
Orga-Einheit: Corporate Management & Economics
Anzeige im Stundenplan:
Capital Mark. Theory
Semesterwochenstunden:
3
Credits:
6,0
Standort:
Campus der Zeppelin Universität
Unterrichtssprache:
Englisch
Min. | Max. Teilnehmerzahl:
5 | 30
Inhalte:
The lecture deals with an in-depth analysis of the major asset classes traded at capital markets, i.e., equity markets, fixed income markets, and derivatives markets.
Based on classical risk return considerations, efficient portfolios are derived in the spirit of Markowitz. Then, the required expected return depending on the relevant asset risk is obtained (Capital asset pricing model). Accounting for differences between real markets and the CAPM assumptions, modern (smart beta) trading strategies are evaluated.
Regarding fixed income markets, the different quotations for both bonds as well as interest rates (spot rates, swap rates, and forward rates) are introduced. Then, the risk of bond portolios is determined using the duration concept. Furthermore, trading strategies within bond markets are carried out. Finally, credit risky bonds are analyzed and the implied default probabilities are related to the historic rating implied default frequencies.
Concerning derivatives markets, the mechanics of both forwards and options are presented. Then, potential risk management strategies are considered. Moreover, the no-arbitrage assumption is used to price forwards (static replication) and options (dynamic replication within binomial tree and Black-Scholes world). Finally, the risk properties of options (greeks) are derived.
Weitere Informationen zu den Prüfungsleistungen:
100% Assignment (Deadline: will be announced in class)
Modulbeschreibung:
The lecture deals with an in-depth analysis of the major asset classes traded at capital markets, i.e., equity markets, fixed income markets, and derivatives markets.
Based on classical risk return considerations, efficient portfolios are derived in the spirit of Markowitz. Then, the required expected return depending on the relevant asset risk is obtained (Capital asset pricing model). Accounting for differences between real markets and the CAPM assumptions, modern (smart beta) trading strategies are evaluated.
Regarding fixed income markets, the different quotations for both bonds as well as interest rates (spot rates, swap rates, and forward rates) are introduced. Then, the risk of bond portolios is determined using the duration concept. Furthermore, trading strategies within bond markets are carried out. Finally, credit risky bonds are analyzed and the implied default probabilities are related to the historic rating implied default frequencies.
Concerning derivatives markets, the mechanics of both forwards and options are presented. Then, potential risk management strategies are considered. Moreover, the no-arbitrage assumption is used to price forwards (static replication) and options (dynamic replication within binomial tree and Black-Scholes world). Finally, the risk properties of options (greeks) are derived.
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