PURPOSE

To provide modern techniques for assessment of price and risk for the major indexed securities traded in Brazil. Presentation and practical discussion of the theory of risk assessment and calculation for fixed income instruments.

 MAIN TOPICS

. Aggregation of fixed income portfolio
. Bootstrapping and fitting of term structure
. Calculation of interest rate volatility
. Classes of assets
. Design of the preset and foreign exchange term structure
. Design of ET for indexed securities
. Several types of interest rates
. Term structure of interest rate
. Sources of spot rates: interest rate futures (DI and FRA) and SWAP
. Interpolation: linear, flat forward and C-spline.
. Market-to-market versus paper curve
. Simplified model of VaR for indexed securities portfolio
. Price of indexed securities (LFT, NTND, NTNC, CDI+)
. Simulation of term structure
. Value at risk (VaR)
. VaR for indexed securities
. VaR for preset securities