Fixed Income Investment

Deepen your knowledge of managing bonds and fixed income

Program flyer
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Next available date: 12 June


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

    • 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?
We offer 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

Program preparation

There is some preparatory work required for this program. Pre-readings consist of case materials, chapters of a book and/or a few articles. These materials will be made available on a password protected webpage a few weeks prior to the program.

To ensure maximum benefit from the program for participant and fellow-participants, we strongly advise to prepare prior to attending.

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.

Other programs that might interest you:


Faculty

Pierre Hillion

Pierre Hillion is a Professor of Finance, de Picciotto Chaired Professor of Alternative Investments, and the Program Director of the INSEAD-Macquarie Master of Finance. From 1999 to 2004, he held the Shell Professorship in Finance. He serves as a visiting professor at the University of California in Los Angeles and the California Institute of Technology….

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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.


Accreditation

CFA Institute – CE credit hours
This program is eligible for 18 CE credit hours as granted by CFA Society VBA Netherlands

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