Fixed Income
EMBAF VI, Spring-08
Prof. Zvi Wiener tel: 02-588-3049
office 5107
Teaching Assistant
- Syllabus, textbook,
PRMIA,
TASE,
Israeli government bonds,
LIBORS,
EURIBOR,
H15,
Public Debt USA,
Debt Management MOF,
GEMEL-NET MOF
- 16-Apr-08
Introduction to the course,
FF1 Introduction,
sub-prime mortgages,
sub-prime lender
- 30-Apr-08
FF2 Pricing,
FF3 Measuring Yield,
ADR,
Shachar Futures,
appendices,
Conversion Factors
- 14-May-08
FF4 Bond Price Volatility,
JPMorgan Inflation Linked Guide,
Inflation Linked Guide,
TASHKIFIM,
NIS futures and options at CME
- 21-May-07
guest lecture Ron Lubash, Alternative Investments & Private Equity
guest lecture Shmuel Abramzon, Israeli Government Bonds
- 28-May-08
Floaters and Inverse Floaters,
FF5 Term Structure,
Repos,
accounting for M&A (Ron Klein)
- 04-Jun-08
FF6 Treasury and Agency,
FED99,
BIS00,
Treasury auctions changes
- 11-Jun-08
FF7 Corporate Debt,
Moody's Rating Methods (old),
ML Rating Guide,
Nera Credit Ratings
- 18-Jun-08
FF9 Non-US Bonds,
EMTN example,
MBIA CEO letter - please read
- 18-Jun-08
FF15 CDO,
MIDROOG,
MAALOT,
Moody's,
SP methodology,
Fitch - sovereign,
Moody's corporate,
Moody's definitions
- 25-Jun-08
FF16 Embedded Options,
Introduction to securitization,
Cash and Synthetic,
Arbitrage CDO by ML,
Fitch,
Barclays,
GS CDO,
CDO Clal
- 25-Jun-08
FF18 Convertibles
- 02-Jul-08
FF19 Active bond management
- 02-Jul-08
Swaps,
US Treasuries - yields,
SHAHAR
- 09-Jul-08
Credit Derivatives
- 09-Jul-08 Last presentations and overview of the course
- 23-Jul-08 overview of the course 19:30
- 25-Jul-08 9:00 exam!
- Book chapter in Hebrew: Bonds
- Grades and HW:
grades
- Solutions of HW:
Ch2,
Ch3,
Ch4,
Ch5,
Ch6,
recommended HW
- 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:
Bonds in Israel,
TEUDOT SAL vs ETF,
LIBOR,
Islamic Bonds,
Coroprate Bonds,
Embeded Derivatives,
Municipal Bonds
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