Course Agenda

Agenda

Course Agenda

Day one: Wednesday November 27, 2019

8:30

Registration and refreshments

            

9:00

            

Discounted cash flow analysis

  • Fixed rate, floating rate and inflation-linked bonds DCF pricing
  • Par, spot and forward rates
  • Yield to maturity, par yield and discount margin
  • Z-spread and OAS spread
  • Perpetual bond pricing     
10:30

Morning break

10:45

One-factor interest rate risk metrics

  • Fisher-Weil, Macaulay, modified and effective duration
  • Basis point value (BPV) and money duration
  • Fisher-Weil, Macaulay, modified and effective convexity
  • Classical portfolio immunisation
  • Useful Bloomberg functions
12:00

Lunch

1:00

Multi-factor interest rate risk metrics

  • Key rate analysis and key rate durations
  • PCA analysis and principal component durations
  • Cubic spline interpolation
  • The ECB term structure model
  • Foundations of return attribution

2:30

Afternoon break

3:00

Hedging interest rate risk

  • Hedging strategies and basis risk
  • Practical hedging with derivatives
  • Case study: Metallgesellschaft AG hedging program
  • Currency hedging
  • Linear algebra review

4:30

End of day one

Day two: Thursday November 28, 2019

8:30 

Refreshments

9:00

Bond pricing with binomial models

  • Risk neutral pricing and binomial models
  • Approaches to build a binomial tree
  • Implementing the Black-Derman-Toy Model
  • Black-Derman-Toy model calibration
  • Duration, convexity and OAS with binomial pricing

10:30   

Morning break

10:45  

Pricing interest rate derivatives and defaultable bonds

  • Pricing interest rate derivatives
  • Default probability and expected recovery
  • Pricing defaultable bonds
  • Black’s option pricing formulas

12:00   

Lunch

1:00

Pricing credit derivatives and hedging credit risk

  • Credit spreads and CDS
  • Pricing credit derivatives
  • Hedging credit risk

2:30

Afternoon break

3:00

Asset-backed securities

  • The securitisation process
  • Mortgage-backed securities
  • Collateralised debt obligations

4:30

End of course