Fixed Income
EMBAF VII, Spring-09
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
- 01-Apr-09
Introduction to the course,
FF1 Introduction,
sub-prime mortgages,
Subprime
- 22-Apr-09
FF2 Pricing,
FF3 Measuring Yield,
ADR,
Shachar Futures,
appendices,
Conversion Factors,
guest lecture Nadav Goldman
- 06-May-09
FF4 Bond Price Volatility,
JPMorgan Inflation Linked Guide,
Inflation Linked Guide,
TASHKIFIM,
NIS futures and options at CME
- 13-May-09
Floaters and Inverse Floaters,
FF5 Term Structure,
Repos
- 20-May-09
FF6 Treasury and Agency,
FED99,
BIS00,
Treasury auctions changes
- 27-May-09
FF7 Corporate Debt,
Moody's Rating Methods (old),
ML Rating Guide,
Nera Credit Ratings
- 03-Jun-09
FF9 Non-US Bonds,
EMTN example,
MBIA CEO letter - please read
- 10-Jun-09
FF16 CDO,
MIDROOG,
MAALOT,
Moody's,
SP methodology,
Fitch - sovereign,
Moody's corporate,
Moody's definitions
- 17-Jun-09
FF17 Embedded Options,
Introduction to securitization,
Cash and Synthetic,
Arbitrage CDO by ML,
Fitch,
Barclays,
GS CDO,
CDO Clal
- 24-Jun-09
FF20 Convertibles,
FF23 Active bond management
- 01-Jul-09
Swaps,
Credit Derivatives,
US Treasuries - yields,
SHAHAR
- 08-Jul-09
Last presentations and overview of the course
- 17-Jul-09 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:
tycoons,
Covered Call,
Tax Monetization,
Israel and MSCI,
Governance,
Debt Restructuring,
Money Market,
SHAAREI RIBIT
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