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