Interest rates are an integral part of the valuation of financial assets, making an understanding of the term structure of interest rates crucial to risk management professionals. The seminar explains simple methods for constructing the term structure of yields from observed bond prices, and then turns to the models that practitioners use in valuation, portfolio construction and risk management.

 

At the end of Intrinsic Value's training seminar the term structure of interest rates the participant should be able to:

􀂅  Describe yield to maturity as an internal rate of return.

􀂅  Define spot curve, spot rate and term structure.

􀂅  Define and describe the yield curve.

􀂅  Demonstrate the process of bootstrapping.

􀂅  Define no-arbitrage pricing.

􀂅  Calculate implied forward rates.

􀂅  Describe normal, flat and inverted yield curves.

􀂅  Describe the pure expectations theory.

􀂅  Describe the liquidity preference theory.

􀂅  Describe the preferred habitat theory.

􀂅  Describe the market segmentation theory.

􀂅  Compare   and   contrast   the   Ho-Lee,   Hull-White  and Black-Derman-Toy

     models.

􀂅  Compare and contrast single-factor and multi-factor models.

􀂅  Describe mean reversion.

􀂅  Calculate the value of non-callable bonds using term structure models.

􀂅  Describe  the  impact  of an embedded call on the value of a bond using term

     structure models.

􀂅  Calculate effective duration and convexity within a term structure model.

􀂅  Define Option Adjusted Spread.

􀂅  Discuss the implications of choosing one term structure modelover the

     others.