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The course will show how interest rate risks can be calculated using a variety of techniques.  We will explore how the risks of different fixed income products can be measured, the correct calculation and interpretation of “duration” and “convexity,” and explore what additional information must be taken into account in assessing risks.  We will also discuss non-traditional calculations that enhance the traders’ understanding of their exposures, as well as the concept of “attribution.”

  • Basics of interest rate risks
  • The difference in calculating risks for bonds with determinate versus indeterminate cash flows
  • Basic duration measures
  • More universal duration measures and their derivation
  • Understanding the concepts duration and convexity
  • Additional forms of durations

Any one that works in fixed income, or wants to work with fixed income securities, should understand the concepts discussed in this class.

  • Interest rate risks associated with fixed income securities
  • Duration calculations
  • Duration and convexity concepts
  • Calculations of duration and convexity
  • The derivation of duration and convexity calculations
  • Simple calculations of advanced concepts
  • Other factors impacting performance
  • Performance attribution

  • Traders (mainly junior)
  • Analysts 
  • secondary marketing (mortgage lenders) 
  • portfolio managers

Bill Berliner is Director of Analytics for Mortgage Capital Trading. He has over 34 years of experience in mortgage and MBS Research, Trading, and Operations, beginning in the back office of Bear, Stearns in 1985. He joined Countrywide Securities as a CMO trader in 1996 and eventually was head of the Trade Strategies Group, responsible for the firm’s research publications and articles. After leaving Countrywide, he served as a consultant focusing on risk management and asset valuation and joined MCT in early 2017. He has co-authored two editions of a textbook on MBS with Frank Fabozzi and Anand Bhattacharya and has written or co-written almost twenty book chapters and articles. He is also the holder of a patent (US10311517) for "Exchange Traded TBA Options." Bill has a BA in Communications and an MBA in Finance from Rutgers University.

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