Sumários
3. Bond Portfolio Interest Rate Risk Management
13 Janeiro 2025, 20:30 • Jorge Bravo
3. Bond Portfolio Interest Rate Risk Management
3.1. Duration, Convexity, M2, M-Absolute, Key-rate durations, Duration vectors, parametric duration/convexity & beyond
3.2. Hedging Strategies against parallel and non-parallel interest rates risk shifts
3.3. Active Fixed-Income Portfolio Management: Butterfly strategy, Cheap/Risch analysis
3.4. Interest Rate Risk Immunization, LDI & Asset-Liability Management
3. Bond Portfolio Interest Rate Risk Management
9 Janeiro 2025, 18:30 • Jorge Bravo
3.
Bond Portfolio Interest
Rate Risk Management
3.1. Duration, Convexity, M2,
M-Absolute, Key-rate durations, Duration vectors, parametric duration/convexity
& beyond
3.2. Hedging Strategies against
parallel and non-parallel interest rates risk shifts
3.3. Active Fixed-Income
Portfolio Management: Butterfly strategy, Cheap/Risch analysis
3.4. Interest Rate Risk
Immunization, LDI & Asset-Liability Management
Term structure of interest rates
6 Janeiro 2025, 20:30 • Jorge Bravo
1.
Term structure of interest
rates
2.1. Spot, forward and par interest
rates
2.2. Empirical Properties and
Classical Theories of the Term Structure
2.3. Deriving the Zero-Coupon
Yield Curve
2.3.1.
Bootstrapping
2.3.2.
Nelson-Siegel-Svensson model
Term structure of interest rates
19 Dezembro 2024, 18:30 • Jorge Bravo
1.
Term structure of interest
rates
2.1. Spot, forward and par interest
rates
2.2. Empirical Properties and
Classical Theories of the Term Structure
2.3. Deriving the Zero-Coupon
Yield Curve
2.3.1.
Bootstrapping
2.3.2.
Nelson-Siegel-Svensson model
1. Basics of Fixed Income Markets and Securities
16 Dezembro 2024, 20:30 • Jorge Bravo
1.
Basics of Fixed Income
Markets and Securities
1.4. Analytics of fixed income markets
1.4.1.
Pricing of Fixed-coupon bonds
1.4.2.
Pricing of Floating-Rate Notes (FRN)
1.4.3.
Rating, credit risk and the valuation of defaultable bonds
1.4.4.
Pricing of Inflation-Linked Bonds