Modern Yield Curve Stripping & Interest Rate Risk Management

🚀 Modern Yield Curve Stripping & Interest Rate Risk Management by Olivier Moreau 📊

Course Headline:

Calculate Precisely Discount Factors, Forward Rate and Sensitivities from a Swap Curve 💰

Course Description:

This class delves into the intricacies of Yield Curve Stripping, an essential skill in the world of finance. While the concepts themselves aren't overly complex, the various algorithms and nuances involved can be quite challenging. As the Interest Rate market is both liquid and highly competitive, even the slightest error in your Yield Curve modeling can lead to significant arbitrage issues in your valuations. 📈

Master the best practices for Yield Curve Stripping with this comprehensive course that will guide you through the process of understanding market conventions, mastering simple stripping techniques, and interpolating Zero Coupon Rates. You'll learn to apply advanced concepts like Forward Spread and stepwise stripping to model central bank behavior, and how to account for your own funding sources.

Here's what you can expect to learn:

• 📊 The Risk Free Rate, Bonds, and Swaps: Understand the market conventions and how they impact your valuations.
• 🛠️ Simple Stripping of the Yield Curve: Learn the basics and apply them to your models.
• 🔬 Interpolation of Zero Coupon Rates: Discover how to accurately interpolate between different maturities.
• ➡️ Forward Spread Concept: Grasp the concept of forward spread and its importance in pricing.
• 🧐 Step Wise Stripping for Central Bank Modeling: Learn to model central bank behavior with a stepwise approach.
• 💰 Stripping with Your Own Funding: Tailor your stripping technique to account for your specific funding conditions.

Each concept is accompanied by downloadable Excel spreadsheets that illustrate the techniques in practice. This hands-on approach ensures you can immediately apply what you've learned to real-world scenarios. 👨‍💻📊

Learn to Implement a Non Arbitrable Yield Curve Model 🎓

With the advent of new Risk Free Rates (RFR) like €ster or SOFR, the precision required in yield curve pricing models has never been higher. This course will guide you through various techniques that must be applied meticulously to avoid arbitrage opportunities. All algorithms are demonstrated with practical, detailed examples on Excel, ensuring a deep understanding of each method.

Content and Overview:

The objective of this course is twofold: first, to compute accurate Discount Factors and Forward Swaps; second, to establish a robust risk management framework that supports these computations.

• 🔍 Interest Rates and Central Bank Role: Understand how central banks influence interest rates.
• 🛠️ Risk Free Rate (RFR): Learn about the new benchmarks for risk-free rates and why they matter.
• 📊 The Pyramid Method: While simple, this method will serve as a foundation for understanding more complex stripping methods.
• 🧬 Modern Stripping Applied to Swap Curve: Dive into modern stripping techniques and the associated risk management with a focus on swap curves.
• 📊 Linear Interpolation for Rates: Explore the limitations of linear interpolation and how it can be improved upon.
• 🚀 Step Spline Algorithm: Discover the step spline algorithm and its implications in risk management.
• 💡 Advanced Techniques in Excel: Cover all products, market specifics, and learn to apply these techniques using an object-oriented programming language.

By completing this course, you will be fully equipped with the knowledge and tools necessary to develop your own interest rate stripper, enhancing your ability to perform precise yield curve stripping and effective interest rate risk management. 🚀

Enroll in this course today and take your financial modeling skills to the next level! With Olivier Moreau's expertise and hands-on learning materials, you'll be well on your way to mastering Yield Curve Stripping and Interest Rate Risk Management. 🎓💪