Fixed Income
EMBAF V, Spring-07
Prof. 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
- 28-Mar-07
Introduction to the course,
FF1 Introduction,
BH recommended foreign bonds,
sub-prime mortgages,
sub-prime lender
- 11-Apr-07
FF2 Pricing,
FF3 Measuring Yield,
ADR,
announcement,
appendices,
Conversion Factors,
Bond Market Review by BH
- 18-Apr-07
FF4 Bond Price Volatility,
Israel Bonds,
TASHKIFIM,
NIS futures and options at CME
- 25-Apr-07
Floaters and Inverse Floaters,
FF5 Term Structure,
Repos
- 25-Apr-07
FF6 Treasury and Agency,
FED99,
BIS00,
Treasury auctions changes
- 02-May-07
FF7 Corporate Debt,
Moody's Rating Methods,
ML Rating Guide,
Nera Credit Ratings
- 09-May-07
FF9 Non-US Bonds,
EMTN example
- 09-May-07
FF15 CDO,
MIDROOG Credit Risk,
MAALOT,
Moody's
- 30-May-07
FF16 Embedded Options,
Introduction to securitization,
Cash and Synthetic,
Arbitrage CDO by ML,
Fitch,
Barclays,
GS CDO,
CDO Clal
- 30-May-07
guest lecture Nancy Turin MBS and CMO,
FF18 Convertibles
- 06-Jun-07
FF19 Active bond management
- 13-Jun-07
Swaps,
US Treasuries - yields,
SHAHAR
- 13-Jun-07
Credit Derivatives
- 20-Jun-07 Presentations
- 20-Jun-07 Presentations
- 27-Jul-07, 10:00 exam!
- Book chapter in Hebrew: Bonds
- Grades and HW:
grades, solutions of HW:
Chapter 2,
Chapter 3,
Chapter 4,
Chapter 5
- 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:
- Presentations:
Repo,
Swaptions,
Bond Market Reform,
Bond Rating,
Mortgages 1,
Mortgages 2,
Real Estate Bonds,
TAA"S,
TIPS,
Fed Funds,
FED,
Forward MAKAM
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