Fixed Income
EMBAF III, Spring-05
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
- 23-Mar-05 Introduction to the course, FF1 Introduction
- 30-Mar-05 FF2 Pricing, FF3 Measuring Yield, , 24-Mar-05 review, BH 23-Mar-05, BH Corp 21-Mar-05, BH HAMARA 20-Mar-05
- 06-Apr-05 FF4 Bond Price Volatility
, FX and cash, EUR Accumulator in USD
- 13-Apr-05 Floaters and Inverse Floaters
- 20-Apr-05 FF5 Term Structure of Interest Rates, FF6 Treasury and Agency, FED99, BIS00, Treasury Auctions recent changes
- 04-May-05 FF7 Corporate Debt, FF9 Non-US bonds, EMTN example, Moody's Rating Methods, ML Rating Guide, Nera Credit Ratings, Fitch Structured Finance Rating, Greenspan on Derivatives
- 18-May-05 FF15 CDO, Introduction to securitization, Cash and Synthetic, Arbitrage CDO by ML, Fitch, Barclays, GS CDO, CDO Clal
- 01-Jun-05 FF16 Embedded Options, Binomial tree and callable debt, Risk Measures for Institutional Investors, Effective Duration
- 08-Jun-05 FF18 Convertibles, FF19 Active Bond Management
- 15-Jun-05 FF20 Indexing, FF21 ALM, Swaps, COSS termsheet
- 22-Jun-05 Credit Derivatives, Total Return Swap, CDS options
- 29-Jun-05 Review of the course
- 06-Jul-05 exam!
- Book chapters in Hebrew: Bonds, VaR, Options1, Options2, Exotic Options1
- Grades and HW: grades, HW1-Ch2, HW2-Ch3, HW3-Ch4, HW4-Ch5-6, HW5-Ch15, recommended solutions
- Examples: Callable step-up, Inverse Floater, Amdocs CLN, EUR accumulator in USD, RC TEVA, Third to default, SHAHARIT
- Materials: Credit Derivatives paper, Birth of Market Capitalism, Car And Go 1, Car And Go 2, PRM Syllabus, 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
- Additional Lectures: Introduction to RM, RM framework, Pfandbrief
- Examples of Projects (other years) Total Return Swap, Portfolio Management, Municipal Bonds, Banking Credit, LTV, Car And Go
- Projects: Graphical presentation of Cashflows, Bond Futures, CDO, DIRUG, STRIPS, MAALOT, Mortgage Securitization, Municipal Bonds,
Reverse Mortgage,
Freddie Mac,
Freddie Mac XLS,
Factoring,
BASHAN,
Legal Aspects of Bonds,
Taxation of Bonds,
Transfer Price
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