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 35 years of experience in trading, research, and operations. Co-author of textbooks on MBS and over 20 book chapters and articles on the sector. Instructor with CFA Society of Los Angeles.