Fixed Income Bootcamp 26 : Valuation, Risk & Quant Models

About Course

Fixed income is the foundation of Institutional Quantitative Finance.

Bond pricing, yield curve construction, strategies, valuation, and regulatory capital calculations all depend on deep fixed income expertise.

Across banks, asset managers, trading firms, and consulting practices, fixed income knowledge isn’t a nice-to-have. It’s a core requirement for quant, risk, and portfolio management roles.

Yet most candidates arrive at interviews with only academic theory, not the practical frameworks that drive real trading desks and risk systems across these institutions.

This Fixed Income Bootcamp closes that gap.

Designed and taught by an Industry Quant, the course prioritizes practical industry application over theory; equipping you with the pricing intuition, risk measurement, and quant models used across banks, asset managers, and trading firms.

Whether you’re interviewing for a bank’s risk management division, a trading firm’s quant desk, an asset manager’s portfolio team, or a consulting firm’s financial services practice, you’ll develop the skills to confidently tackle their fixed income questions and hit the ground running on day one.

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.
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).
Term Structure Modeling: Construct yield curves using bootstrapping and interpolation methods including linear interpolation, cubic spline, Nelson-Siegel, and Nelson-Siegel-Svensson frameworks (Excel).
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).
Short-Rate & Forward-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)

Fixed Income Bootcamp 26 : Valuation, Risk & Quant Models

About Course

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