SPECIAL COURSE
  FIXED INCOME RISK MODELING

 PURPOSE

To provide modern techniques for assessment of just price for major securities and interest rate options traded in the Brazilian market traded in the Brazilian market. The theory of price assessment and price calculation will be presented and discussed in a practical form, for fixed income instruments and options. Applications to the Brazilian market will be presented with instructional material in Portuguese, and problems will be solved with Excel spreadsheets.

 MAIN TOPICS

. Several types of interest rates
. Arbitrage, market-to-market and paper curve
. Price of indexed securities
. DI futures, SWAP and FRA
. Arbitrage and hedge with SWAP, DI futures, and FRA
. Duration, convexity, and teta
. Term structure of the interest rate
. Extraction of data: bootstrapping and fitting of term structure
. Linear interpolation, flat forward, and exact C-spline
. Nelson-Siegel model and cubic regression
. Preset and foreign exchange term structure in Brazil
. Movements of the Brazilian term structure
. Decomposition of ET movements with PCA
. Hedge for level, sloping, and curvature
. Volatility in fixed income
. Vasicek model
. Simulation of movements in the interest structure
. Parametric and non-parametric VaR
. Duration x Portfolio VaR
. VaR for preset securities
. Mapping of vertex flows
. Application of regulation 2972
. VaR for indexed securities
. VaR by Monte Carlo
. Calculation of liquidity risk

 
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