Comments (0)

By Tai, August 12, 2010 10:52 am

Dear Students,

In week 5 we will continue with modeling using Stata. Please come with questions and data sets.

In week 6 we will move on to extending your knowledge of portfolio management. I’d advise you to review your FINS2624 and FINS1613 knowledge. Specifically, here are a few things you should have been familiar with:

1. Discrete return, excess return, continuous return calculation
2. Arithmetic return and geometric return calculation
3. Asset classes
4. Standard deviation, variance, covariance, correlation calculation. Variance-covariance matrix, correlation matrix
5. Annualised values
6. Nominal rate
7. Single-index model
8. CAPM
9. Efficient frontier with and without short-sale
10. CML
11. SML
12. Utility function
13. Fixed income term structure: market expectation, liquidity premium
14. Fixed income duration, convexity
15. Equity and fixed income valuation models
16. Active and passive portfolio management
17. Efficient market hypothesis

You need to have Simon Benninga Financial Modeling 3rd edition. Bodie Kane Marcus Investment 8th edition is highly recommended.

Regards,

Tai

Comments (0)

By Tai, January 27, 2010 8:27 am

The UK has the floating rate LIBOR as the reference rate at which banks borrow in the money market. This floating rate is also used for engineering other derivatives.

Respectively, Australia has BBSW: bank-bill reference rate.

In Vietnam, the inter-bank rate between Vietcombank, Agribank, Vietinbank and BIDV has recently been used e.g. for bonds. The full term is long, so I came up with an acronym for it: VAVB. This term is sheerly for the ease of remembering and discussion; the order of the letters serves no other purpose.