Fixed Income
EMBAF VIII, Spring-10
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
- 07-Apr-10
Introduction to the course,
FF1 Introduction,
sub-prime mortgages,
Subprime
- 14-Apr-10
FF2 Pricing,
FF3 Measuring Yield,
ADR,
Shachar Futures,
appendices,
Conversion Factors
- 21-Apr-10
FF4 Bond Price Volatility,
JPMorgan Inflation Linked Guide,
Inflation Linked Guide,
TASHKIFIM
- 28-Apr-10
Floaters and Inverse Floaters,
FF5 Term Structure,
Repos
- 05-May-10
FF6 Treasury and Agency,
FED99,
BIS00,
Treasury auctions changes
- 12-May-10
FF7 Corporate Debt,
Moody's Rating Methods (old),
ML Rating Guide,
Nera Credit Ratings
- 26-May-10
FF9 Non-US Bonds,
EMTN example,
SP rating,
transition matrix,
LGD,
Fitch Aug07
- 09-Jun-10
FF16 CDO,
MIDROOG,
MAALOT,
Moody's,
SP methodology,
Fitch - sovereign,
Moody's corporate,
Moody's definitions
- 16-Jun-10
FF18 Embedded Options,
Introduction to securitization,
Cash and Synthetic,
Arbitrage CDO by ML,
Fitch,
Barclays
- 16-Jun-10
FF20 Convertibles,
FF23 Active bond management,
GS CDO,
CDO Clal
- 23-Jun-10
Swaps,
Credit Derivatives,
US Treasuries - yields,
SHAHAR
- 23-Jun-10 presentations
- 30-Jun-10
Last presentations and overview of the course
- 23-Jul-10 exam!,
sample questions
- Book chapter in Hebrew: Bonds
- Grades: grades (for the final grade contact Adi)
- Solutions:
Ch. 2,
Ch. 3,
Ch. 4,
Ch. 5,
Ch. 6
- 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:
Residential Mortgage Loans,
Mortgage Pass Through Securities,
CMO,
Commercial MBS,
ABS,
Liability Funding,
IR Futures,
IR Options
- Presentations:
Special Bonds,
Netting,
CAT bonds,
Strips,
Earmarked Bonds,
Rating and CDS spread,
Taxation of debt restructuring,
bond rating in Israel,
securitization,
Hesder Hov,
bond buy back,
Housing Finance,
Credit Crisis in Israel,
Global Bond Markets,
Fix,
Teva Convertible bond
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