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Mortgage-Backed Securities: Assessment and Management of Risk

in London Financial Studies (England)

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Price:

£1,980 + VAT Special offers 

Duration:

2 Days

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Requirements:

* Basic Knowledge of Financial Markets and Instruments (bonds, swaps, caps, floors, options) in terms ... see more

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Course objectives:

This course will enable you to understand the major causes of risk in mortgage backed securities markets and develop appropriate solutions for managing those types of risk.

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Course details

Type Course Duration 2 Days
Method / place Contact course provider Inhouse / Classes
Suitability * Risk Managers * Middle Office and Senior Managers * Investors * Quantitative Analysts, Financial Engineers and Systems Developers * Structured Products Desks, Product Controllers and Researchers * Loan Portfolio Managers and Fund Managers * Credit Analysts and Credit Risk Managers
Course objectives This course will enable you to understand the major causes of risk in mortgage backed securities markets and develop appropriate solutions for managing those types of risk.
Requirements
* Basic Knowledge of Financial Markets and Instruments (bonds, swaps, caps, floors, options) in terms of mechanics and elementary pricing. * Basic Knowledge of Fixed Income (yield curve, forward rates, forward curve, Libor contracts, discounting factors, interpolation, discounting cash flows). * Elementary Mathematics and Statistics.
Price £1,980 + VAT
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Course programme

Mortgage-Backed Securities: Assessment and Management of Risk
Mortgage-Backed Securities: Assessment and Management of Risk

This course will enable you to understand the major causes of risk in mortgage backed securities markets and develop appropriate solutions for managing those types of risk. The programme includes prepayment, default and arrears risk and during the course you will apply a wide range of models and techniques to these areas. Also covered are modern instruments such as balance guaranteed swaps, equity release mortgages and property derivatives. Pricing examples are given, but the focus of the programme is on managing risk, hedging and scenario analysis.

Day One Review of the Fundamental Tools and Concepts
 
  • Basic Products

  • Yield Curve

  • The main drivers of MBS risk:

  • Prepayment

  • Default

  • Arrears
    P&L hedging
     

  • Basic techniques

  • Hedging strategies for consumer loan portfolios
    Workshop: Designing hedging strategies for a consumer loan portfolio with growing programme
     
    Understanding Prepayment and Default Risk
     

  • Traditional models: Arctan, Richard and Roll

  • How to implement a Richard and Roll model

  • Financial engineering models

  • Econometric models

  • Loan by loan models and their implementation

  • OAS approach

  • Synthetic credit protection ABS CDS and ABX.HE

  • The securitisation process for RMBS
    Workshop: Implementing R&R and a loan by loan model
     
    Day Two Balance Guaranteed Swaps (BGS)
     

  • Product description

  • Why BGS is important

  • Pricing with Bermudan swaptions

  • Pricing with floors

  • Pricing with caps

  • Hedging limitations

  • Choosing the bands for hedging

  • Cross-currency balance guaranteed swap
    Reverse Mortgages: The Next RMBS Market?
     

  • Interest rate risk

  • House price index

  • Mortality tables

  • Poisson models for Monte Carlo simulation

  • Simulating payment times and events
    Workshop: Pricing a BGS.
    Simulating reverse mortgage payment times and events.
     
    Property derivatives
     

  • Using new instruments for hedging RMBS

  • Indices

  • Forward contracts on indices

  • Pricing the forward contract on HPI

  • Total return swap

  • Hedging RMBS with property derivatives

  • Macro cross-hedging
    Workshop: Pricing the forward contract on HPI and hedging RMBS with property derivatives.
     
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    Teachers/ trainers

    profesorado Radu Tunaru


    Radu Tunaru is a quant in the Credit Investments Department of Bank of Montreal, London. He has a PhD in Probability and Statistics and he has developed the MSc in Quantitative Finance at Cass Business School, City University in London. His expertise includes: probability and stochastic calculus, ma
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    On London Financial Studies

    Provider description
    <strong>London Financial Studies</strong> is a specialist teaching resource that concentrates exclusively on capital markets. We offer individuals, teams and companies expert teaching that combines theoretical understanding with practical experience.
    Advantages of studying with London Financial Studies
    At <strong>London Financial Studies</strong> we concentrate exclusively on capital markets. We offer individuals, teams and companies a unique and expert teaching resource that combines theoretical understanding with practical experience and equips them to operate at the highest levels of efficiency and profitability.

    Our business is driven by a distinct philosophy and clear values:
    Practical Application Intellectual Clarity Personal Approach Economic Value
    Course provider history
    In the past decade London Financial Studies has become widely acclaimed as one of the best teaching resources for capital markets practitioners. Over that time we have delivered a diverse range of programmes to individuals, major financial institutions and government bodies worldwide.

    The <strong>London Financial Studies</strong> ethos of combining excellent and effective teaching grounded in sound theory as well as relevant and practical real-world experience is a direct result of the experience of the founder, David Cox.

    During his career in banking, he became aware of the acute need for high quality teaching relating to capital markets. After leaving the City he joined the London Business School and set out to develop techniques and materials to meet this need. The result was a series of short courses for practitioners: The Financial Markets Seminar Programme. London Financial Studies has refined the approach and uses the same methodology throughout its programme.
    Specialises in
    Credit Econometrics Equity Fixed Income and Inflation General Capital Markets Mathematics Other Asset Classes Quantitative Techniques

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