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This two-day course covers the management of market risk in a fixed income portfolio.
This course takes participants through the valuation and risk measures for fixed-income (FI) products and deals with the management of portfolio risks, using derivatives. It covers the calculation and analysis of potential risk under a Value-at-Risk (VaR) framework. The course also links risk management techniques and methodologies to regulatory risk management requirements.
- Understand the pricing techniques for FI products.
- Distinguish between credit and market risk measures.
- Calculate risk measures (duration, PV01, convexity) on FI products.
- Analyze portfolio risk using factor sensitivities.
- Understand the application of a range of fixed income derivatives in risk management.
- Describe and compare the methodologies used in VaR calculations.
- Understand the applications and shortcomings of VaR.
- Analyze portfolio risk using VaR and suggest corrective actions, if required.
- Portfolio/asset/fund managers
- Credit/lending officers
- Investment and commercial bankers
- Fixed income professionals
- Risk managers
- Banking supervisors