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所在平台: Udemy |
课程主页: https://www.udemy.com/course/modern-yield-curve-stripping-interest-rate-risk-management/
课程评论：没有评论
**课程名称：** 现代收益率曲线剥离与利率风险管理 **课程概述：** 本课程深入探讨收益率曲线剥离的核心问题，强调其在利率市场中的重要性。课程旨在帮助学员掌握收益率曲线剥离的最佳实践，并理解其如何影响利率风险管理。 **主要内容：** * **收益率曲线建模基础：** * 无风险利率、债券和掉期及其市场惯例。 * 简单的收益率曲线剥离方法。 * 零息利率的插值技术。 * **高级剥离技术与风险管理：** * 远期利率的概念。 * 分步剥离以模拟央行行为。 * 考虑自身融资成本的剥离方法。 * 如何构建无套利收益率曲线模型。 * **新一代无风险利率的应用：** * €ster、SOFR 等新无风险利率的引入对收益率曲线定价模型提出的更高精度要求。 * 多技术结合的收益率曲线剥离方法。 * **Excel 实践与编程实现：** * 所有概念均通过可下载的 Excel 电子表格进行直观演示。 * 学习实现无套利收益率曲线模型。 * **课程逻辑与重点：** * **第一部分：** 介绍利率、央行角色和无风险利率 (RFR)。 * **金字塔方法：** 介绍一种简单且结果可接受的方法，并指出其局限性。 * **现代剥离与风险管理：** 应用于掉期曲线，并结合线性插值进行风险管理。 * **防止套利：** 介绍阶梯样条算法，解决线性插值可能产生的套利问题，并深入分析插值对风险的影响。 * **高级技术：** 针对不同产品和市场特性，在 Excel 中展示和分析高级技术。 * **最终目标：** 学习者将能够使用面向对象语言开发自己的利率剥离器，计算贴现因子和远期掉期，并建立稳健的风险管理框架。 **学习目标：** * 掌握收益率曲线剥离的原理和方法。 * 理解收益率曲线模型对利率风险管理的影响。 * 能够应用不同的插值技术构建无套利收益率曲线。 * 掌握如何考虑新一代无风险利率进行收益率曲线定价。 * 通过 Excel 实践，深入理解理论知识。 * 为构建自己的利率剥离器奠定基础。
This class will tackle about the problem of Yield Curve Stripping. Nothing is overly complicated, however there are a lot of different algorithms and 'the devil lies in the details'. As the Interest Rate market is very liquid and competitive, any mistake can lead to an arbitrage in your valuation. Your Yield Curve modeling will also have a strong impact on your Risk Management.Master the best practices for Yield Curve Stripping.The Risk Free Rate, Bonds and Swaps and their market conventionsSimple Stripping of the Yield CurveInterpolation of Zero Coupon RatesThe concept of Forward SpreadStep Wise stripping to model central bank behaviourStripping with your own fundingAll the concepts are illustrated in downloadable Excel spreadsheetsLearn to implement a non arbitrable Yield Curve ModelWith the introduction by the regulators of the new Risk Free Rates like €ster or SOFR, yield curve pricing model must be even more precise. A proper yield curve stripping must use several different techniques, and all of them must be applied without any mistake.All the algorithm will have a practical, detailed and downloadable example on ExcelContent and OverviewThe goal of this course is to compute Discount Factor and Forward Swaps, while having a sound risk management framework.The first part of this course will present the Interest rates, the Central Bank role and the RFR (Risk Free Rate)The Pyramid method will be presented, as it is simple and leads to acceptable result, but it has strong limits.Then modern stripping will be applied to a swap curve with its associated risk management, using a simple linear interpolation for Rates.Because linear interpolation is arbitrable, you will be presented with the step spline algorithm. The Risk implications of the interpolation are important and will be seen in detail.In order to cover all products and market specific, advanced techniques will be presented and analyzed in Excel.With all these tools, student will be able to develop their own interest rate stripper, using a object oriented language.
