Fixed Income Bootcamp 26 : Valuation, Risk & Quant Models

What Will You Learn?

• Interest Rate Mathematics: Develop numerical expertise in continuous and discrete compounding, spot, forward, and par rates, spreads, yield-to-maturity, and different yield curve shapes used in fixed income valuation.
• Term Structure Modeling: Construct yield curves using bootstrapping and interpolation methods including linear interpolation, cubic spline, Nelson-Siegel, and Nelson-Siegel-Svensson frameworks (Excel).
• Bond Pricing Techniques: Learn day count conventions, accrued interest treatment, and practical bond pricing using spot rates, forward rates, and yield-to-maturity through hands-on implementation (Excel).
• Interest Rate Risk Measurement: Master duration (Macaulay, Modified, Dollar, Effective), convexity measures, DV01, Key Rate Duration (KRD), and modeling of parallel and non-parallel yield curve shifts for Portfolio Risk Analysis (Excel).
• Yield Curve Shock Analysis: Model parallel shifts (uniform rate changes across all maturities) and non-parallel shifts (twists, butterfly movements, and basis risk scenarios) to evaluate portfolio sensitivity to different interest rate environments.
• Risk in Bond Investing: Identify and assess the major risks in fixed income investing including interest rate, credit, liquidity, prepayment, reinvestment, currency, and inflation risk, and understand their impact on bond valuation.
• Value at Risk (VaR) Model for Fixed Income: Build dynamic bond cash-flow schedules, apply discounted cash-flow modeling, perform full valuation VaR and partial revaluation VaR, simulate yield curve movements, and interpret VaR at multiple confidence levels (Excel).
• Mortgage-Backed Securities (MBS): Understand MBS structure, cash flow mechanics, prepayment modeling (PSA curves, CPR, SMM), negative convexity, extension and contraction risk, and valuation techniques including OAS analysis for pass-through and MBS products (Excel).
• Stochastic Interest Rate Models: Understand the relationship between short rates and forward rates and implement classical interest rate models such as Vasicek, CIR, Hull-White, and the HJM framework (Excel)
• Interest Rate Derivatives Pricing: Analyze caps, floors, collars, and swaptions, and learn pricing methodologies using the Black-76 model and Monte Carlo simulation (Excel)