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.
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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.
This is a sample only. Upon request, Moody’s Analytics shall provide an invitation letter for those attendees who require a visa. You can request the visa invitation letter via email to firstname.lastname@example.org only after your registration for the respective course is completed and the proof of payment is attached in the request email.