Asset Class Credit Products

the most common products in this asset class and characteristic numbers; potential indices and benchmarks for this asset class; active vs. passive strategies and replication of benchmarks; maybe: approaches estimation of the long-term return distribution for this asset class; objective functions and performance measures for this asset class; trading strategies for this asset class controlling a credit portfolio using derivatives; selection and optimisation for a credit portfolio: performance and attribution analysis for a credit portfolio

Mode of delivery

face to face

Type

compulsory

Recommended or required reading and other learning resources/tools

Reilly, F., Brown, K., 2003, Investment Analysis and Portfolio Management, 7th ed., ITPS Thomson Learning; Grinold, R., Kahn, R., 2008, Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk, 2nd ed., McG

Planned learning activities and teaching methods

Integrated class

Assessment methods and criteria

Student assessment relies on the quality of their assignments, their presentations and their participation (30 points), and on the result of the written final exam (70 points).

Prerequisites and co-requisites

Courses of the 1st semester

Infos

Degree programme

Quantitative Asset and Risk Management (Master)

Cycle

Master

ECTS Credits

2.00

Language of instruction

English

Curriculum

Part-Time

Academic year

2021

Semester

2 SS

Incoming

Yes

Learning outcome

After the successful completion of the course, students are able to characterize products of the asset class credit. They are capable of differentiating between different financial products within the asset class and identify their associated risks. Additionally, they are able to construct forecasting models for this asset class and utilize the results for portfolio allocation and selection. Furthermore, they have the ability to conduct performance and attribution analyses for this asset class.

Course code

0613-09-01-BB-EN-17