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29 - FNB - Finance and Banking


FNB 147 - Fixed Income Management

Code Start Date Duration Venue Fees
FNB 147 23 August 2021 5 Days Istanbul $ 3950 Registration Form Link
FNB 147 20 September 2021 5 Days Istanbul $ 3950 Registration Form Link
FNB 147 18 October 2021 5 Days Istanbul $ 3950 Registration Form Link
FNB 147 15 November 2021 5 Days Istanbul $ 3950 Registration Form Link
FNB 147 13 December 2021 5 Days Istanbul $ 3950 Registration Form Link
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Course Description

The Fixed Income Portfolio Management and Construction class introduces the tools and techniques for the management of fixed income portfolios, applying those techniques first to analysing portfolios of real bonds and then to construction and management of portfolios.

Course Objectives

  • Understand the technicalities of analysing fixed income portfolios
  • Explain the drivers of performance of fixed income portfolios and how they affect investment outcomes
  • Express views on future interest rates and credit spreads by taking positions in fixed income instruments
  • Apply intuition to levels of tracking error utilised by active risk positioning
  • Explain how single name credit is aggregated into aggregate risk distributions for fixed income portfolios
  • Understand the principles of portfolio construction vs benchmarks and vs liability benchmarks
  • Interpret and explain performance attribution for fixed income portfolios
  • Use derivatives in portfolio construction – futures, swaps, swaptions, inflation swaps, single name and index CDS
  • Explain application of ESG factors in fixed income portfolio construction

Who Should Attend?

  • Junior PMs
  • Desk Assistants
  • Investment Specialists
  • Product Managers
  • Sales Teams
  • Researchers
  • Economists

Course Details/Schedule

Day 1

  • Fixed income investment concepts
  • Potential benefits of fixed income
  • Risks associated with fixed income
  • Risk and return on interest rates
  • Carry as a driver of performance

Day 2

  • Bond markets
  • Bond pricing fundamentals
  • Practical bond pricing
  • Bond risk metrics
  • Risk and return on credit spreads

Day 3

  • Fixed income portfolios – exposure analysis
  • Fixed income portfolios – volatility and tracking error
  • Portfolio construction exercise
  • Credit risk distributions, aggregation
  • Credit portfolio
  • Techniques in portfolio construction

Day 4

  • Tools for controlling rate exposure
  • Tools for controlling spread exposures
  • Tools for controlling currency exposure
  • Managing duration for liability matching
  • Performance measurement and attribution for Fixed Income

Day 5

  • Ex-post performance & information ratios 
  • Yield curves
  • Trading the yield curve with cash market securities
  • Interest rate derivatives