Fixed Income Investment provides a practical overview of the fixed income markets, with focus on the management of bond portfolios. This program will increase your understanding of the different types of risk faced by bond portfolio manager and you will learn about measures of risk such as duration and convexity as well as more advanced measures. Furthermore, we will review fixed-income derivatives, options and swaps and understand their usefulness in bond portfolio management for hedging or speculating.
How you will benefit
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- 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 |
Is this program not the right fit for you?
Please look at the other programs which you might find more interesting or useful, such as:
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 in the Fixed Income Investment program 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.
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