Details of TCS Brochure | Forthcoming Programmes
 

 
DEBT MARKETS, FIXED INCOME ANALYTICS AND CREDIT RATING

(January 30 - February 3, 2012)
 
Objectives:
  • To give a comprehensive view of the whole spectrum of Fixed income market, Fixed income analytics and Credit risk management to all those who are new to the Fixed income market as well as to the seasoned candidates seeking to expand their knowledge.
 
Contents:
  • Bond markets: Structure and design
  • Bond Types – Characteristics of various bond types
  • International Bond Market
  • Markets for sovereign and corporate Bonds
  • Concepts of Interest rates
  1. Types of interest rates
    1. Treasury rate
    2. Repo rate – Fixed and floating, Reverse Repo
    3. LIBOR rate, MIBOR, HIBOR and others
  2. Concepts of Treasury Zero rates and their determination
Structure and valuation of fixed Income products
  1. Concepts of
    1. Yield and its calculation
      1. Nominal Yield
      2. Current Yield
      3. Yield to Maturity (YTM)
    2. Zero Coupon (Treasury) Curve
    3. Price – Yield Curve.
    4. Duration and Modified Duration.
    5. Accrued Interest.
    6. Structure of a bond issue-Callability, Sinking fund etc.
    7. Bond Pricing Conventions.
    8. Bond Underwriting.
    9. Credit Risk and Credit rating agencies.

  2. Advanced Concepts – Fixed income derivatives
    1. Bond Futures and Bond options
      1. Using Bond futures for hedging and spread printed trading
      2. Pricing Bond Futures and Bond options
      3. Embedded Bond Options
      4. Black's Model
      5. Yield Volatilities
    2. Interest rate caps and floors and collars and their Valuation
Fixed Income Analytics
  1. Theories of the Term Structure of Interest rate
  2. Concepts of Bond Duration and Bond Convexity
  3. Zero rate curve determination and application
  4. Forward rates – Determination, Application to FRAs collection.
  5. Pricing Interest-rate contingent claims
Fixed Income portfolios and risk management
  1. Implications of Duration for Portfolio Management and Yield Curves
  2. Implications of Convexity on Immunization.
  3. Yield Curve Analysis and its fluctuation.
  4. Fixed Income Portfolio Management when Yield Curve shape changes.
Trading Strategies with fixed income products

Emerging frontiers in market risk and credit risk management
  1. CDSs, CDOs and CMOs and their Valuations, Valuation of Basket CDSs and CDOs.
  2. The Role of CDSs and CDOs in the US Subprime Crisis.
  3. Convertible Bonds and their Valuation.
Duration : 1 weeks

Date : January 30 - February 3, 2012
 
 


 
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