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Dan McBride
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Decks in this class (5)
R.35 Arbitrage-Free Valuation Framework
LEARNING OUTCOMES
The candidate should be able to:
explain what is meant by arbitrage-free valuation of a fixed-income instrument;
calculate the arbitrage-free value of an option-free, fixed-rate coupon bond;
describe a binomial interest rate tree framework;
describe the backward induction valuation methodology and calculate the value of a fixed-income instrument given its cash flow at each node;
describe the process of calibrating a binomial interest rate tree to match a specific term stru
2
cards
R.36 Valuation and Analysis: Bonds with Embedded Options
LEARNING OUTCOMES
The candidate should be able to:
describe fixed-income securities with embedded options;
explain the relationships between the values of a callable or putable bond, the underlying option-free (straight) bond, and the embedded option;
describe how the arbitrage-free framework can be used to value a bond with embedded options;
explain how interest rate volatility affects the value of a callable or putable bond;
explain how changes in the level and shape of the yield curve af
4
cards
R.37 Credit Analysis Models
LEARNING OUTCOMES
The candidate should be able to:
explain expected exposure, the loss given default, the probability of default, and the credit valuation adjustment;
explain credit scores and credit ratings;
calculate the expected return on a bond given transition in its credit rating;
explain structural and reduced-form models of corporate credit risk, including assumptions, strengths, and weaknesses;
calculate the value of a bond and its credit spread, given assumptions about the credit
3
cards
R.38 Credit Default Swaps
No deck description has yet been added by the author.
6
cards
R.34 Term Structure and Interest Rate Dynamics
No deck description has yet been added by the author.
8
cards
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