Risk Assessment and Management 2022-11 – Download

Explanation

Fixed Income Analysis: Valuing and Managing Risk Fixed income markets are central to the modern economy, and are arguably the most central and influential markets in the entire financial system. Indeed, interest rates, the most important value in the entire economy, are set in the bond and currency markets. A famous and colorful lament from President-elect Bill Clinton in 1993 led his aide, James Carville, to announce that in his next life he wanted to return to something really influential: the bond market. This course, which assumes no knowledge of finance, and has minimal math requirements (business school calculus is more than enough) will be useful for financial professionals who want to advance to the next level by understanding the markets. fixed income, and quantitatively. professionals from other fields who are interested in learning about finance. If you’re looking for a part of the capital markets to start exploring finance, you can’t go wrong with the fixed income markets.

This course teaches quantitative and rigorous techniques for valuing fixed income securities and analyzing and managing the risks they face. We will develop techniques for analyzing Treasury bonds, Treasury bills, bonds, and repurchase agreements, as well as bond portfolios. More than other asset classes, fixed income securities are exposed to risks related to interest rates. Moreover, the relationship between fixed income assets and interest rates is very complex. So, necessarily, we will also develop methods for analyzing interest rates. We will explore the close relationship between fixed income instruments and interest rates, and review the main theories of interest term structure. The value of fixed income securities is one of the primary objectives of the course.

What will you learn?

The overall structure of the world’s bond and money markets
Price, yield, accrued interest and day count deals
Arbitrage and the time value of money as fundamental principles underlying security valuation, and how they are used to value fixed income securities.
The term interest rate structure, its applications, and accepted theories of the forces that shape it
Common risk measures for fixed income securities: duration, DV01, and volatility, and their applications in risk management.
Business applications: climbing the production curve and level trading
Insurance and asset/liability management applications

Who is this course for?

Technical professionals who want to study finance
Finance professionals who want to develop their quantitative skills and learn how to analyze fixed income securities