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    • URL icon
      Good background read URL

      Pages 1-14 of the latest Quarterly Review of the Bank for International Settlements provides a nice summary of recent financial market moves. You may find this useful for background:

      https://www.bis.org/publ/qtrpdf/r_qt2303.htm

      Best,

      Antti

    • File icon
      Mistake on Lecture 4 slide File PDF

      There was a mistake on slide 22 of the Lecture 4 slide deck, "T" was missing from the exponent of the first formula in the pdf version. Corrected slide enclosed.

      I've also added for clarity one interim step in the derivation of the duration formula.

      Thanks to an eagle-eyed student for spotting this.

      Best,

      Antti

    • File icon
      Another mistake - Lecture 3 slide 19 File PDF
      It seems like my PDF writer does not like power functions on the top line of PowerPoint slides. A similar mistake to the one on p.22 of Lecture 4 was spotted on p.19 of Lecture 3 (the exponent should read -kT, not -k). Corrected slide enclosed.

      Best,

      Antti

    • URL icon
      Some background material re. Lecture 5 URL
      Following on from today's lecture... optional material re. SVB, equity-bond correlation, and the Fed's mandate.

      1) Some good commentary on the SVB situation. The first one provides a summary of the events & background, the next two offer good insights (and some personal opinions) into the wider implications of the crisis.

      https://www.ft.com/content/0e1c671f-7998-4a55-a44e-edf07193616d

      https://www.ft.com/content/40e48e30-6fc0-494e-8dd4-9b5b3615e570

      https://www.ft.com/content/5a723f25-0dd3-4cff-b511-b01d7467a4ba

      2) A recent paper on the changing equity-bond correlation, which may have implications on portfolio construction and possibly the bond risk premium:

      https://www.aqr.com/Insights/Research/Journal-Article/A-Changing-Stock-Bond-Correlation

      3. If you made it this far, check out this incisive analysis on the Fed's dilemma with the "dual mandate".

      https://www.youtube.com/watch?v=WTGok1W_mNI

      Best,
      Antti
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      Background reading - Lecture 7 Page
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      Instructions for Nordea visit on March 29th Page
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      Lecture 8 - Contingent Convertibles ("AT1") Page
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      Final lecture on April 4th Page