Fixed Income
EMBAF IX, Spring-11
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
- 06-Apr-11
Introduction to the course,
FF1 Introduction,
sub-prime mortgages,
Subprime
- 13-Apr-11
FF2 Pricing,
FF3 Measuring Yield,
ADR,
Shachar Futures,
appendices,
Conversion Factors
- 27-Apr-11
FF4 Bond Price Volatility,
JPMorgan Inflation Linked Guide,
Inflation Linked Guide,
TASHKIFIM
- 04-May-11
Floaters and Inverse Floaters,
FF5 Term Structure,
Repos
- 11-May-11
FF6 Treasury and Agency,
FED99,
BIS00,
Treasury auctions changes
- 18-May-11
FF7 Corporate Debt,
Moody's Rating Methods (old),
ML Rating Guide,
Nera Credit Ratings
- 25-May-11
FF9 Non-US Bonds,
EMTN example,
SP rating,
transition matrix,
LGD,
Fitch Aug07
- 01-Jun-11
FF16 CDO,
MIDROOG,
MAALOT,
Moody's,
SP methodology,
Fitch - sovereign,
Moody's corporate,
Moody's definitions
- 15-Jun-11
FF18 Embedded Options,
Introduction to securitization,
Cash and Synthetic,
Arbitrage CDO by ML,
Fitch,
Barclays
- 22-Jun-11
FF20 Convertibles,
FF23 Active bond management,
GS CDO,
CDO Clal
- 29-Jun-11
Swaps,
Credit Derivatives,
US Treasuries - yields,
SHAHAR
- 06-Jul-11
Last presentations and overview of the course
- 15-Jul-11 exam!, example of test questions
- Book chapter in Hebrew: Bonds
- Grades: grades
- 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:
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