Master of Science in Risk and Asset Management
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Module 3 - Fixed Income Analysis and Credit Risk
Debt instruments dominate the capital markets and it is vital for financial institutions to efficiently manage their bond portfolios and control interest rate risk. Rigorous and quantitative in nature, this course equips participants with an in-depth understanding of state-of-the art techniques used to generate performance and implement risk management processes in fixed-income markets.
The course develops insights into bond portfolio strategies and illustrates how derivative securities can be used to shift the risks associated with fixed-income securities. It covers all sectors of the bond market and details the techniques for valuing Treasury bonds, bonds with credit-risk, exchange-traded bond options, bonds with embedded options, floating rate notes, caps, collars, and floors, credit derivatives, and mortgage-backed securities.
The course finished off with a detailed look at credit modelling and the various models used to estimate and value credit based products commonly used such as credit default swaps and collateralised debt obligations.
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