Fixed Income Investment

Deepen your knowledge of managing bonds and fixed income

Program flyer
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Next available date: 14 June

Fixed Income Investment provides a practical overview of the fixed income markets, with focus on the management of bond portfolios.

How you will benefit

    • Increase your understanding of the different types of risk faced by bond portfolio managers
    • Learn about measures of risk such as duration and convexity as well as more advanced measures
    • Review fixed-income derivatives, futures, options and swaps and understand their usefulness in bond portfolio management for hedging or speculating

Program length
3 days

Day 1 09:00 – 17:00
Day 2 09:00 – 17:00
Day 3 09:00 – 17:00

Risk and Return for Bonds without Embedded Options

  • Yield measures
  • Risk measures: Part I
    –  Duration: Definition, usefulness, properties and limitations
  • Risk measures: Part II
    –  Convexity: Definition, usefulness, properties and limitations
  • Usefulness of duration in bond portfolio management: Immunization
  • Usefulness of convexity in bond portfolio management: Butterfly swaps

Risk and Return for Bonds with Embedded Options

  • Adjusted yield measures
  • Adjusted risk measures
    –  Adjusted duration
    –  Adjusted convexity
  • Bond portfolio management for bonds with embedded options

New Measures of Risk

  • Factor based measures of risk
    –  The shift
    –  The tilt
    –  The flex
  • Key rate durations

Use of Derivative Instruments in Bond Portfolio Management: Part I – Interest Rate Swaps

  • Interest rate swaps as portfolio of bonds
  • Risk of interest rate swaps: Interest rate risk and credit risk
  • Swap rationale
  • Advanced swaps: Forwards and swaptions
  • Usefulness of swaps in bond portfolio management

Use of Derivative Instruments in Bond Portfolio Management: Part II – Options

  • Pricing interest rate options
    –  Typology of interest rate options
    –  Simple payoff diagrams
    –  Pricing interest rate options: The Black, Derman and Toy Model

Use of Interest Rate Options in Bond Portfolio Management

  • Pricing examples
    –  Bonds with embedded options
    –  Sinking funds
  • Reshaping bond portfolio returns with options
  • Hedging asymmetric risk with options
  • Duration hedging with convexity adjustment using futures and options

The typical participant will be an investment professional, analyst or plan sponsor. This includes bond analysts, pension fund advisors, risk managers, private client portfolio managers and consultants to the fund management industry. Those responsible for the management of fixed-income portfolios within banks, pension funds and insurance companies are advised to attend.


Pierre Hillion

Pierre Hillion is the de Picciotto Chair at INSEAD in Alternative Investments and Visiting Professor at UCLA and CalTech. He received his MBA from Ecole HEC, holds a DEA from the Université Paris-Dauphine and a PhD from the University of California in Los Angeles (UCLA). Pierre’s research interests lie in the areas of empirical tests…

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  • 3 days
  • € 3950
  • Investment Management, Risk Management
  • English
  • 4.6 / 5

Available dates

Need help?

Find your program here or contact us directly for personal advice:
Call us at +31 20 246 7140 or email us at [email protected].

Program flyer

For a more detailed program description and information regarding faculty please download the program document.


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