The yield curve can steepen, flatten or change its shape. Understanding such movements is important for taking positions in bonds of various maturities. These movements are driven by both changes in expectations of the future path of short-term interest rates and changes in the risk premia associated with such expectations. Simple models of the term structure run into the problem of “the expectations puzzle of interest rates,” in which it seems as if the yield curve fails to reflect expectations of the path of short-term interest rates. This course will resolve this puzzle by explaining how risk premia actually behave. It will also show how to build a state-of-the-art term-structure model and how to fit the model to data. (Requires understanding of yield curve mathematics and factor analysis)
- Understand the role of expectations in the movements of yield curve
- Understand the role of risk premia in the movements of yield curves
Prof. Eli Remolona sits on the Board of Directors of the Bank of the Philippine Islands and is an Adviser to the Academy of Finance in Hong Kong. Prior to joining ASB, he had long careers at the Bank for International Settlements and the Federal Reserve Bank of New York. He has taught at Williams College, Columbia University and New York University and has been an Associate Editor of the International Journal of Central Banking since 2005. Eli holds a Ph. D in Economics from Stanford University. She is a global entrepreneurial academic with a track record of program, school, and intellectual leadership for multiple degree program business units, and she has been an international keynote speaker in the United States, Asia-Pacific, and Europe. Her most recent research, “Nail it, Scale it, Sail it,” focuses on understanding the evolution of start-ups to scale-ups to sail-ups. Prof. Loredana has an MA in Communication and Economics and a PhD in Management from USI Switzerland.
ELI REMOLONA Professor of Finance Director of Central Banking
AREA OF EXPERTISE Central Banking, Finance, Financial Markets, Financial Market Development
Sophisticated investors in bond markets, chief risk officers, financial market economists.