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This two-day course covers the management of market risk in a fixed income portfolio.

Course Agenda

    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.

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

  • 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.

Who Attends?

  • Portfolio/asset/fund managers
  • Credit/lending officers
  • Investment and commercial bankers
  • Fixed income professionals
  • Risk managers
  • Banking supervisors
2017 Course Dates and Locations

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No course available at this time.