Fixed Income Investment

Deepen your knowledge of managing bonds and fixed income portfolios

Program flyer

Dates to be determined soon


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 a bond portfolio manager and you will learn about measures of risk and return such as modified duration, convexity, credit spread 01 and asset-swap spread (ASW). Additionally we will review interest-rate derivatives and understand their usefulness in bond portfolio management for hedging and speculation.

How you will benefit

  • Increase your understanding of the different types of risk faced by bond portfolio managers
  • Learn about measures of risk and return 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

Next step
We offer carefully crafted learning paths designed to help you dive deeper into various facets of finance. Take the next step in your professional learning path by choosing one or more of our specialized programs, for example:


Bond instruments and market introduction

  • Universe of instrument types
    • Fixed / floating rate
    • Structured finance securities
    • Credit rating spectrum
  • Yield curve analysis and interpretation
  • Value-at-Risk primer

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
  • The hedge calculation using modified duration

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

Use of derivative instruments in bond portfolio management: Interest rate swaps, bond futures basis and options

  • Interest rate swaps
  • Risk of interest rate swaps: Interest rate risk and centralized clearing
  • Collateral management
  • Usefulness of swaps in bond portfolio management
  • The Futures Bond Basis: examples from UK Gilt Market
  • Use of options in portfolio management

Credit derivatives

  • Pricing credit derivatives from first principles
  • Synthetic versus cash  markets in credit
  • Use of credit derivatives as part of relative value investment

Bonds and relative value analysis

  • Asset swap yields
  • Government bonds and relative value
  • Analyzing and interpreting the yield curve
  • Class walk thru: the investment decision
    • King & Shaxson daily shout interpretation

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.

Is this program not the right fit for you?
We offer other programs which you might find more interesting or useful, such as:


Faculty

Moorad Choudhry Bank ALM

Moorad Choudhry

Professor Moorad Choudhry is an independent non-executive director at Recognise Bank Limited, in London, and at the Loughborough Building Society.  He was latterly Treasurer, Corporate Banking Division at The Royal Bank of Scotland. Moorad is a Fellow of the Chartered Institute for Securities & Investment, a Fellow of the London Institute of Banking and Finance,…

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  • 3 days
  • € 3950
  • Investment Management, Risk Management
  • English
  • 4.6 / 5
Dates to be determined soon

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


Testimonials


Satisfied clients