Class 5

23 Março 2015, 13:30 • RAQUEL MARIA MEDEIROS GASPAR

4. Hedging Interest Rate Risk 4.1 Interest Rate Risk - characteristics

4.2 Interest Rate Risk - sensitivity measures I

4.3 Hedging - classic and contingent

4.4 Hedging Bond Portfolios - part I

4.5 Interest Rate Risk - sensitivity measures II

4.6 Hedging Bond Portfolios - part II

4.7 Hedging Bond Portfolios - part III

5. Investment Strategies 5.1 Passive Fixed-income Portfolio Management

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Study Session 2 (9.30-12.30h)

23 Março 2015, 09:30 • RAQUEL MARIA MEDEIROS GASPAR

Study Session

Q&A

Exercises

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Class 4

16 Março 2015, 13:30 • RAQUEL MARIA MEDEIROS GASPAR

3.Term Structure of Interest Rates

3.1 Types of Term Structure of Interest Rates (TSIR)

3.2 Typical shapes and movements of TSIR

3.3 Classical Theories of the TSIR

3.4 Deriving the TSIR

3.5 Deriving the TSIR - the money market case

3.6 Term Structure of Credit spreads
 

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Study session 1 (9.30-12.30h)

16 Março 2015, 09:30 • RAQUEL MARIA MEDEIROS GASPAR

Accompained study.

Esxercises and Discussion

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Class 3

9 Março 2015, 13:30 • RAQUEL MARIA MEDEIROS GASPAR

2. Bond prices and yields (cont.)

(...)

2.6 Spot versus forward rates

2.7 Valuation of Fixed coupon bonds

 

3. Term Structure of Interest Rates

3.1 Types IRTS

3.2 Classical Theories of the IRTS

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