Fixed Income
EMBAF XI, Spring-13
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
- 17-Apr-13
Introduction to the course,
FF1 Introduction,
sub-prime mortgages,
Subprime
- 24-Apr-13
FF2 Pricing,
FF3 Measuring Yield,
ADR,
Shachar Futures,
appendices,
Conversion Factors
- 01-May-13
FF4 Bond Price Volatility,
JPMorgan Inflation Linked Guide,
Inflation Linked Guide,
TASHKIFIM
- 08-May-13
Floaters and Inverse Floaters,
FF5 Term Structure,
Repos
- 22-May-13
FF6 Treasury and Agency,
FF7 Corporate Debt,
Moody's Rating Methods,
ML Rating Guide,
Nera Credit Ratings
- 29-May-13
FF9 Non-US Bonds,
EMTN example,
SP rating,
transition matrix,
LGD,
Fitch Aug07
- 05-Jun-13
FF16 CDO,
MIDROOG,
MAALOT,
Moody's,
SP methodology,
Fitch - sovereign,
Moody's corporate,
Moody's definitions
- 12-Jun-13
- 19-Jun-13
- 26-Jun-13
- 12-Jul-13 exam! example of test questions
- Book chapter in Hebrew: Bonds
- Grades: current 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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