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

Course Agenda

    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.

Who Attends?

  • Portfolio/asset/fund managers
  • Credit/lending officers
  • Investment and commercial bankers
  • Fixed income professionals
2018 Course Dates and Locations

Find a Course Near You

No course available at this time.