FINC 467 Fixed Income Securities
Exam Prep Chapter 4 yield spreads
1. Please briefly discuss how the Fed uses the following interest rate policy tools:
a. open market operations-buying and selling treasuries to add/remove funds
b. the discount rate-raisin
FINC467 Week 3 Material Study Guide
Professor Paul Laux
In the Week 3 lecture and the related chapter reading in Fabozzi, we considered
several central topics that you should study for the exam. These have been highlighted
in provisos materials, including
FINC 467 Fixed Income
Study Guide
Final Exam
1. Pleasereviewtheproblem&solutiononembeddedoptionsemailedtoyouonTuesday.
A/B(Bookp229232):
Yousetuptheinitialbox(year0)forthemarketprice(100)andyieldtomaturitythatisgiven.
Yousetuptheyearyouaresolvingforboxes(
FINC467 Fixed Income
Additional Questions
1.
(a) Why do mortgage pass-thru securities (PT) have unpredictable lives? (b)
Assuming the sharp decline in interest rates of the past few years is not reversed,
what will be the relationship between the actual a
FINC 467 Fixed Income
Study Guide
Final Exam
1.
Please review the problem & solution on embedded options emailed to you on Tuesday.
2.
Why is the procedure for valuing a bond with an embedded option called backward
induction?
3.
Why is the value produced
Fixed Income Value-At-Risk Primer / For 30 September 2014, Dean Bruce Weber
Value at Risk (VaR) is a widely used method to express the risk of a financial portfolio that can contain
any combination of instruments including stocks, bonds, and derivatives.
Dear Fixed Income Seminar Class,
Thanks for working with me this evening. I appreciate your attention and
seriousness. I hope it was a profitable exercise for you.
I am writing with two bits of information.
1
Bond Valuation
Paul Laux
Introduction to the Valuation of Debt Securities
(Fabozzi Chapter 5)
Intro and valuation
principles
Traditional
approach to
valuation: YTMs
Arbitrage-Free
approach to
valuation: Spot
rates
Notes
Paul Laux
Forward rates &
yield c
9/9/2014
1
Features of Debt Securities
Chapter 1
2
Fixed Income Categories
Debt
Preferred Stock
Bonds
Preferred stock represents an
ownership interest in the issuing
organization by the stockholder.
Mortgage-backed securities
Asset-backed securities
8/26/2014
Risks Associated with Investing in
Bonds
Chapter 2
1
Interest Rate Risk
Bond prices and interest rates move in
opposite directions.
Since the price of a bond fluctuates with
market interest rates, the risk faced by
investors is that the price
Value-at-Risk (VaR)
modeling for Fixed
Income Portfolios
Week 5)
FIN 467
Dean Bruce Weber
September 30, 2014
1. Fixed income risk
2. Modeling yield
changes
3. VaR approaches
4. Implementing VaR in
Excel with @Risk
5. VaR/@Risk Workshop
Risk simulations: F