Managing Credit Risk in a Fixed-Income Portfolio

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This two-day course covers the management of credit risk in fixed-income portfolios.

Course Agenda

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This course takes participants through the analysis of risk on a stand-alone and portfolio basis. Emphasis is placed on the identification and calculation of standard risk inputs and the application of these metrics in a Value-at-Risk (VaR) style model. The program also deals with the management of counterparty credit risk that is created by any hedging products present in fixed-income (FI) portfolios. The course ends with a discussion around the management of portfolio risks using derivatives.

Gain insights into credit risk management in a FI portfolio, so you can:

Understand the analysis of stand-alone credit risk, using standard credit metrics and a VaR framework.
Contrast and compare the alternative sources of standard metrics from historical or market-implied data.
Discuss the benefits and risks of modeling default and recovery risks.
Understand the importance of correlation in risk analysis.
Judge exposure metrics and identify risks.
Analyze stand-alone and marginal risks and make corrective decisions.
Describe and evaluate the credit risks coming from hedging derivatives.
Understand the process of managing portfolio risk, using the credit default swap market.