Final Exam Guide for 2013 S1

Topics: Interest, Credit risk, Debt Pages: 4 (698 words) Published: August 27, 2013
Session 1, 2013
Final Exam Announcement

Duration: 3 hours

Date and Venue: Please check the exam schedule under MyUNSW.

Format: Close book, 60 MCQs.

Calculator: UNSW-approved calculators.

Lectures in weeks 1 - 9, 11-12.
Lecture 10 (Chapters 17 and 18) is not examinable in the final exam.

Details of coverage:
The exam will be based on the coverage in lecture notes only. I provide the list of key topics for your reference. However, the list is not exhaustive. All topics covered in the lecture notes are examinable as long as they are not labeled as "for your information/knowledge only".

1) Specialness of Financial Intermediaries (Chapter 1)
3 questions (all theory questions)

Brokerage & intermediary functions of financial institutions Areas of specialness of financial institutions
Australian regulation of financial institutions

2) Interest Rate Risk - duration model (Chapter 9)
13 questions (mix of 'theory' and calculation questions, mainly calculation questions)

The definition and economic meaning of duration;
The calculation of duration and the return given duration and interest rate changes for annual coupon payment bonds, non-annual (semi-annual or quarterly) coupon payment bonds, annuities and consol bonds; The relationship between duration and bond/security parameters; The application of duration to a firm;

The definition and fundamental causes of convexity ;
The calculation of returns given information about duration and convexity;

3) Interest Rate Risk - repricing gap model (Chapter 8)
4 questions (mix of 'theory' and calculation questions, mainly calculation questions)

Rate sensitive assets & liabilities, and the funding gap concept; The calculation of funding gap;
The change of net interest income (with and without considering run-off).

4) Market Risk (Chapter 10)
7 questions (mix of 'theory' and calculation questions, mainly...
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