Credit Derivative Instruments (xVA) [Masters]
Introduction, Global financial crisis, and the general OTC Derivatives Market; Counterparty Risk; Netting, Close-out and related aspects; Collateral; Credit exposure and Funding; Capital Requirements and regulation; Counterparty Risk Intermediation; Quantifying Credit Exposure; Exposure and the impact of Collateral; Default Probabilities, Credit Spreads and Funding Costs; Discounting and Collateral; Credit and Debit Value Adjustments; Funding Value Adjustments.
[2017 - Currently]
Gregory, J., 2015. The XVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital. John Wiley & Sons.
Credit Risk Analytics [third year and honours]
Parts of the book is covered over third year and honours level.
​
Third year includes: Introduction to Credit Risk analytics & SAS Software, Exploratory Data Analysis, Data pre-processing for Credit Risk Modelling, and Credit Scoring. [2018 onwards]
​
Honours level includes: Credit Scoring, PD: Discrete-Time Hazard Models , PD: Continuous-Time Hazard Models, Low Default Portfolios, Default Correlations and Credit Portfolio Risk, Loss Given Default (LGD) and Recovery Rates, Exposure at Default (EAD) and Adverse Selection. [2018 onwards]
Baesens, B., Roesch, D. and Scheule, H., 2016. Credit risk analytics: Measurement techniques, applications, and examples in SAS. John Wiley & Sons.
Portfolio Management Theory A and B [Honours]
This module’s content is loosely based on that of CFA level 3’s exam.
[2016 - 2017]
Maginn, J.L., Tuttle, D.L., McLeavey, D.W. and Pinto, J.E. eds., 2007. Managing investment portfolios: a dynamic process (Vol. 3). John Wiley & Sons.
Financial Risk Management 344
Mean variance portfolio theory: Risk of a portfolio, delineating efficient portfolios, techniques for calculating the efficient frontier. The portfolio selection process, single and multi-index models, utility analysis. Models of equilibrium in the capital market: Standard capital asset pricing model, non-standard forms of capital asset pricing models, empirical tests of equilibrium models.
[2016 - 2017]
Elton, E.J., Gruber, M.J., Brown, S.J. and Goetzmann, W.N., 2014. Modern portfolio theory and investment analysis, 9th Edition. John Wiley & Sons.
Financial Risk Management 274
Basic Theory of Finance concepts, compound interest functions, discounted cash flow procedures, methodology to price loans, securities and financial derivatives, advanced annuity procedures, analyses of financial returns, principal components, risk factor sensitivities, cash flow mappings.
Notes written by Prof. WJ Conradie
Financial Risk Management 242 (Tutorials)
Introduction to derivatives with emphasis on mathematical methodology, mechanics of futures and option markets, pricing of futures and forwards, hedging strategies using derivatives, interest rate markets, swaps, properties of stock options, trading strategies involving options;
[2009 - 2010]
Hull, J.C., 2005. Options, futures, and other derivatives, 6th Edition. Pearson Education India.
Financial Risk Management 212
Evaluating of the investment properties and the study of the mathematical methodology underlying the following financial asset classes: Government bonds, corporate debt, equity, properties, index linked government bonds, Foreign investments. South African financial market. Liabilities and risk profile of the following Institutional Investors: Banks, life insurers, pension funds, short-term insurers, medical aid schemes, unit trusts, investment trusts.
[2016 - Currently]
Marx, J., 2016. Investment management, 6th Edition. Van Schaik.
Statistics 186
Linear programming, sampling techniques, descriptive statistics, probability theory, discrete random variables and probability distributions, basic calculus, sampling distributions, inferential statistics, regression analysis, time series analysis.
[2010]
Berenson, M., Levine, D., Szabat, K.A. and Krehbiel, T.C., 2012. Basic business statistics: Concepts and applications. Pearson higher education AU.
Statistical Methods 176
Sampling techniques, descriptive statistics, probability theory, discrete random variables and probability distributions, continuous random variables and probability distributions, sampling distributions, inferential statistics, analysis of variance, regression analysis, time series analysis.
[2009 - 2010]
Levine, D.M., Berenson, M.L. and Stephan, D., 1999. Statistics for managers using Microsoft Excel (Vol. 660). Upper Saddle River, NJ: Prentice Hall.
Theory of Interest 152
Simple and compound interest, force of interest, future value, present value and discount, accumulation and discounting of amounts of money, various types of annuities and applications.
[2009 - 2010]
Conradie, W.J. & Schoeman, A., 2009. Calculating Interest with Financial Calculators, 2nd Edition. SunPrint.
