Overview

This eCourse consists of two modules. Module 1 describes the most important fixed income derivatives, and shows how, even for non-derivative fixed income products, derivative analysis illuminates valuations, sensitivity analyses, and product comparisons.

Module 2 looks at how credit risk is reflected in market spreads and how rating agencies assess this risk. The evolution of credit risk into a distinct asset class is also examined.

Objective

On completion of this course, you will be able to:
- Identify the key types of fixed income derivative
- Recognize how fixed income derivatives allow agents to transform risks
- Recognize how no-arbitrage concepts are used in fixed income analysis
- Identify how bondholders are exposed to credit risk
- Recognize how credit spreads are embedded in market prices
- Recall how ratings agencies assess the credit risk of fixed income securities
- Recognize how credit has evolved into a distinct asset class

Content

Module 1: Fixed Income Derivatives
Topic 1: Bond Derivatives
Topic 2: Interest Rate Derivatives
Topic 3: Unbundling Risk
Topic 4: Derivatives & Fixed Income Analysis

Module 2: Fixed Income Analysis – Credit Risk
Topic 1: Credit Risk in Fixed Income
Topic 2: Credit Ratings
Topic 3: Credit Default Swaps