Modern Yield Curve Stripping Interest Rate Risk Management

Modern Yield Curve Stripping & Interest Rate Risk Management, available at $44.99, has an average rating of 4.28, with 11 lectures, based on 9 reviews, and has 63 subscribers.

You will learn about Understand Interest Rate Swap and RFR (Risk Free Rate) Compute Discount Factor and Sensitivities Price Forwards for RFR and other Indexes Calculate DV01 and Risks for a portfolio This course is ideal for individuals who are People in finance who are in need of precise Interest Rate Pricing. It is particularly useful for People in finance who are in need of precise Interest Rate Pricing.

Enroll now: Modern Yield Curve Stripping & Interest Rate Risk Management

Summary

Title: Modern Yield Curve Stripping & Interest Rate Risk Management

Price: $44.99

Average Rating: 4.28

Number of Lectures: 11

Number of Published Lectures: 11

Number of Curriculum Items: 13

Number of Published Curriculum Objects: 13

Original Price: $22.99

Quality Status: approved

Status: Live

What You Will Learn

Understand Interest Rate Swap and RFR (Risk Free Rate)

Compute Discount Factor and Sensitivities

Price Forwards for RFR and other Indexes

Calculate DV01 and Risks for a portfolio

Who Should Attend

People in finance who are in need of precise Interest Rate Pricing.

Target Audiences

People in finance who are in need of precise Interest Rate Pricing.

This class will tackle about the problem of Yield Curve Stripping. Nothing is overly complicated, however there are a lot of different algorithms and ‘the devil lies in the details’.

As the Interest Rate market is very liquid and competitive, any mistake can lead to an arbitrage in your valuation. Your Yield Curve modeling will also have a strong impact on your Risk Management.

Master the best practices for Yield Curve Stripping.

The Risk Free Rate, Bonds and Swaps and their market conventions

Simple Stripping of the Yield Curve

Interpolation of Zero Coupon Rates

The concept of Forward Spread

Step Wise stripping to model central bank behaviour

Stripping with your own funding

All the concepts are illustrated in downloadable Excel spreadsheets

Learn to implement a non arbitrable Yield Curve Model

With the introduction by the regulators of the new Risk Free Rates like ster or SOFR, yield curve pricing model must be even more precise. A proper yield curve stripping must use several different techniques, and all of them must be applied without any mistake.

All the algorithm will have a practical, detailed and downloadable example on Excel

Content and Overview

The goal of this course is to compute Discount Factor and Forward Swaps, while having a sound risk management framework.

The first part of this course will present the Interest rates, the Central Bank role and the RFR (Risk Free Rate)

The Pyramid method will be presented, as it is simple and leads to acceptable result, but it has strong limits.

Then modern stripping will be applied to a swap curve with its associated risk management, using a simple linear interpolation for Rates.

Because linear interpolation is arbitrable, you will be presented with the step spline algorithm. The Risk implications of the interpolation are important and will be seen in detail.

In order to cover all products and market specific, advanced techniques will be presented and analyzed in Excel.

With all these tools, student will be able to develop their own interest rate stripper, using a object oriented language.

Course Curriculum

Chapter 1: RFR

Lecture 1: The Risk Free Rate

Chapter 2: Basic Stripping

Lecture 1: Bond and Swap

Lecture 2: Magic Matrix (Oldies but Goodies)

Chapter 3: IRS Stripping

Lecture 1: Modern Stripping

Lecture 2: Risk Management

Lecture 3: Interpolation

Chapter 4: Advance Stripping

Lecture 1: Market Conventions

Lecture 2: Forward Spread

Lecture 3: Step Wise

Lecture 4: Funding

Lecture 5: IT and Objects

Instructors

Olivier Moreau
Risk Analyst

Rating Distribution

1 stars: 0 votes

2 stars: 1 votes

3 stars: 1 votes

4 stars: 3 votes

5 stars: 4 votes

Frequently Asked Questions

How long do I have access to the course materials?

You can view and review the lecture materials indefinitely, like an on-demand channel.

Can I take my courses with me wherever I go?

Definitely! If you have an internet connection, courses on Udemy are available on any device at any time. If you don’t have an internet connection, some instructors also let their students download course lectures. That’s up to the instructor though, so make sure you get on their good side!