Understanding Interest Rates and Yield Curves

Congratulations! Welcome to this course.

This comprehensive course will cover a variety of issues relating to yield curves, their construction, and their use in a variety of analytical applications to assess risk and return.

The course consists of 19 lectures among 5 sections, including topics within:

• Introduction to Yield Curves
• Duration and its Applications
• The Level of Rates and Shape of the Yield Curve
• Spot Rates and Forward Rates
• Total Return Analysis

Learning Objectives (At the end of this course, you will be able to...):

• Understand how yield curves depict fixed income instrument pricing and risk premiums
• Explain duration as a measure of the sensitivity of the price (the value of principal) of a fixed-income investment to a change in interest rates
• Describe the different types of duration, and how each is used in managing and/or quantifying risk
• Discuss alternative yield curves that are used to price or assess the value of fixed income instruments, including the current coupon yield curve, par coupon yield curve, spot rate curve, treasury strip curve and forward rate curve
• Apply total return analysis over a variety of interest rate scenarios to assess risk and return as an alternative to simply using yield to maturity as an estimate of future returns

Target Audience

• Analysts and associates in commercial, corporate and investment banking.
  

Best wishes to you for a successful program.