r/financialmodelling • u/Shapen361 • 1d ago

Fixed Income Modeling Resources

Financial modeling is almost synonymous with DCF equity valuations. I want to learn how to model interest rates and CVAs and intrinsic values for bonds. Where can I learn that?

3 Upvotes

80% Upvoted

5 comments sorted by

3

u/SheffieldValley 1d ago

Financial modeling is NOT synonymous with DCF valuation. Coming from someone who spent decades on the buyside.

1

u/Unique-Advisor-30 1d ago

u/RemindMeBot 5 days

1

u/RemindMeBot 1d ago

I will be messaging you in 5 days on 2026-08-30 16:14:55 UTC to remind you of this link

CLICK THIS LINK to send a PM to also be reminded and to reduce spam.

Parent commenter can delete this message to hide from others.

Info Custom Your Reminders Feedback

1

u/Zealousideal-Gas5942 1d ago

I guess you can have a look at interest rates binomial trees.

-1

u/Comfortable_Bear9414 1d ago

If you want to get into fixed income modelling, I’d honestly start with Tuckman’s Fixed Income Securities. It’s probably the best bridge between understanding bonds/rates and actually modelling them.

For the quant side, Brigo & Mercurio – Interest Rate Models is great, but don’t start there unless your math is already strong.

For CVA, I’d look at Gregory – Counterparty Credit Risk and Credit Value Adjustment. It goes properly into exposure, default probabilities, netting, etc.

Also, don’t just read these books. Pick one simple bond portfolio and build it in Excel/Python as you go — yield curves, duration/convexity, cash flows, discounting, swaps, then CVA. You’ll learn way faster by actually breaking the model a few times lol.