Theories of Interest and Management with Credit Risks

The goal of this course are the interest rates, their determinants and the effects of the changes of credit holders and the entire economy. In the beginning this course deals with the different theoretical opinions about interest rates, their determinants and role in the economy. In addition the term structure of interest rates will be presented, theory of expectations, balancing interest rate, and the influence of inflation over the interest rates, nominal and real interest rates and the expectations of the changes in interest rates.

The classes will include teaching of the influence of interest rates on the prices of bonds, derivatives, prices of currencies and the price of capital.

Mandatory literature:

  1. Хул, Џон К.: Менаџирање на ризиците и финансиските институции. Арс Ламина ДОО, Скопје, 2011, с.556. (превод)
  2. Хорн, Џејмс Ван: Каматни стапки и текови на финансискиот пазар. Скопје, 2009, с. 319.
  3. Вајт, Лоренс, Х.: Теорија на монетарните институции. Скопје, 2011, с.280.
  4. Woodfort, Michael: Interest & Prices. 2003, p.800.
  5. Fabozzi, Frenk J; Mann, Steven V. and Choudhry, Moorad: Measuring and controlling interest rate and credit risk. 2003, p.545.

Additional literature: 

  1. Brigo, D. & Mercurio, F.: Interest rate models – Theory and practice. 2006.
  2. Kellison, S.G.: The theory of interest. 2009.
  3. Belke, Ansgar; Polleit, Thorsten: Monetary economics in global financial markets. 2009, p.839.
  4. Greuning, Hennie Van & Brajović Bratanović, Sonja: Analiza i upravljanje bankovnim rizicima. Zagreb, 2006, s.249-260.
  5. Homer, Sidney & Sylla, Richard: A History of interest rates. 2005, p.733.
  6. Svoboda, Simon: Interest rate modeling. 2004, p.288.
  7. Mishkin, Frederic & Eakins, Stanley: Financial markets and institutions. 2009, p.675.
  8. Mishkin, Frederic S.: The economics of money, banking and financial markets. 2010, p.705.