Course Running Time: 6 Hours 45 Minutes

Modern Interest Rate Modelling with Collateral, Funding and Credit: Section 1 (Running Time: 1:26:55)

Modern Interest Rate Modelling with Collateral, Funding and Credit: Section 2 (Running Time: 1:33:26)

Modern Interest Rate Modelling with Collateral, Funding and Credit: Section 3 (Running Time: 1:28:37)

Modern Interest Rate Modelling with Collateral, Funding and Credit: Section 4 (Running Time: 1:34:17)

Modern Interest Rate Modelling with Collateral, Funding and Credit: Section 5 (Running Time: 48:55)

Fixed Income Modeling with Multicurves

• Interest rate modeling: from basics to advanced
• Advanced Multicurve Modeling, the three approaches:
  • Hull&White
  • HJM framework
  • BGM Libor Market Model
• The market standard model for CSA discounting and tenor basis pricing
• The advanced solutions with stochastic basis
• Adapting volatility to tenor and correlating tenor curves
• Implementation, derivatives pricing, hedging (mis- and super-hedging) 

Rates with Credit and Funding

• Counterparty and Wrong way Risk for Rates derivatives
• The credit spread hidden in today rates
• Current relation between spot and forward
• Credit, liquidity, funding to explain the basis
• A credit model that replicates the tenor basis

Cutting Hedge in Fixed Income

• Negative rates
• Cost of clearing, initial margin and Fra-Futures basis
• Cross currency and collateral
• Constructing curves when curves are missing
• Rates in Regulatory risk models
• Pricing Bermudans and Model Risk

 References:

• Interest Rate Modelling after the Financial Crisis.   M. Bianchetti and M. Morini, Risk Editions
• Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes.   D. Brigo, M. Morini and A. Pallavicini, Wiley
• Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators.   M. Morini, Wiley Finance