Fixed Income 55728
HUJI, Spring-05
17:30-20:15, HAVAT HAMAHSHEVIM 3
Zvi Wiener tel: 02-588-3049
office 5107
Teaching Assistant
- Syllabus, textbook, PRMIA, TASE, Israeli bonds, LIBORS, Public Debt USA, Debt Management MOF, GEMEL-NET MOF
- 20-Feb-05 Introduction to the course, FF1 Introduction
- 27-Feb-05 FF2 Pricing, FF3 Measuring Yield
- 06-Mar-05 FF4 Bond Price Volatility
- 13-Mar-05 Floaters and Inverse Floaters
- 20-Mar-05 FF5 Term Structure of Interest Rates, FF6 Treasury and Agency, FED99, BIS00, Treasury Auctions recent changes
- 03-Apr-05 FF7 Corporate Debt, FF9 Non-US bonds, EMTN example, Moody's Rating Methods, ML Rating Guide, Nera Credit Ratings, 24-Mar-05 review, BH 23-Mar-05, BH Corp 21-Mar-05, BH HAMARA 20-Mar-05
- 10-Apr-05 FF15 CDO, Introduction to securitization, Cash and Synthetic, Arbitrage CDO by ML, Fitch, Barclays, GS CDO, CDO Clal
- 01-May-05 midterm exam!, FX and cash, EUR Accumulator in USD
- 08-May-05 FF16 Embedded Options, Binomial tree and callable debt, Greenspan on Derivatives
- 15-May-05 FF18 Convertibles, FF19 Active Bond Management, Risk Measures for Institutional Investors, Effective Duration
- 22-May-05 FF20 Indexing, FF21 ALM
- 29-May-05 Swaps, COSS termsheet
- 05-Jun-05 Credit Derivatives, Total Return Swap, CDS options, overview of the course
- 22-Jul-05 final exam!
- Grades and HW: library - selected pages, HW - grades, HW 2,3, HW 4, HW 5, HW 6, HW 15, recommended, HW 16-18, recommended Ch 16, 18, 25
- Examples: Callable step-up, Inverse Floater, Amdocs CLN, EUR accumulator in USD, RC TEVA, Third to default, SHAHARIT
- Book chapters in Hebrew: Bonds, VaR, Options1, Options2, Exotic Options1
- Materials: Credit Derivatives paper, Birth of Market Capitalism, Car And Go 1, Car And Go 2, Fitch Structured Finance Rating, ING - Real Estate
- Additional Textbook Chapters: FF10 Residential Mortgages, FF11 Mortgage Pass-Through, FF12 CMO, FF13 CMBS, FF14 ABS, FF23 IR Futures, FF24 IR Options
- Additioanl Lectures: Introduction to RM, RM framework, Pfandbrief
- Projects: PSA, HAZAV, Credit Cards, Rating of Structured Products, COSS, Liquidity, TAVOR, RC TEVA, Testing Merton
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