Fixed Income
EMBAF IV, Spring-06
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
- 29-Mar-06
Introduction to the course,
FF1 Introduction,
Bonds Worldwide,
Convertibles in Israel
- 05-Apr-06
FF2 Pricing,
FF3 Measuring Yield,
ADR,
announcement,
appendices,
Conversion Factors
- 26-Apr-06
FF4 Bond Price Volatility,
Israel Bonds,
TASHKIFIM,
NIS futures and options at CME
- 10-May-06
Floaters and Inverse Floaters,
FF5 Term Structure,
Conference on Alternative Investments 08-May
- 17-May-06
FF6 Treasury and Agency,
FED99,
BIS00,
Treasury Auctions recent changes
- 24-May-06
FF7 Corporate Debt,
FF9 Non-US Bonds,
EMTN example,
Moody's Rating Methods,
ML Rating Guide,
Nera Credit Ratings
- 31-May-06 Prof. Stuart Gabriel, USC:
paper,
Housing Wealth, Financial Wealth, and Consumption,
MIDROOG Credit Risk,
MAALOT,
Moody's
- 07-Jun-06
FF15 CDO,
Introduction to securitization,
Cash and Synthetic,
Arbitrage CDO by ML,
Fitch,
Barclays,
GS CDO,
CDO Clal
- 14-Jun-06
FF16 Embedded Options
- 21-Jun-06
FF18 Convertibles
- 28-Jun-06
FF19 Active bond management
- 05-Jul-06
Swaps,
Credit Derivatives
- 12-Jul-06 $1T bet, Review of the course
- 02-Aug-06 exam!
- Book chapters in Hebrew:
Ch. 1 Introduction,
Ch. 2 Bonds,
Ch. 3 Forwards and Futures 1,
Ch. 4 Forwards and Futures 2,
Ch. 5 Swaps,
Ch. 6 Vanilla Options
- Grades and HW:
HW grades,
HW1-Ch2,
HW2-Ch3,
HW3-Ch4,
HW4-Ch5,
HW5-Ch6,
HW6-Ch16,
HW7-Ch15,
recommended exercises
- Examples:
Callable step-up,
Inverse Floater,
Amdocs CLN,
EUR accumulator in USD,
RC TEVA,
Third to default,
SHAHARIT
- Materials:
Birth of Market Capitalism,
Credit Derivatives paper,
Car and Go 1,
Car and Go 2,
ING - Real Estate
- Additional Textbook Chapters:
FF20 Indexing,
FF21 ALM,
FF23 Futures,
FF24 Interest Rate Options
- Projects:
CDO,
securitization,
High Yield Bonds,
Newspaper,
structure Teva,
TEUDOT SAL,
Market Makers,
Municipal Bonds
- Exercises with Dima: FM1
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