Fixed Income Management

Interest Rate Products and Instruments

• Treasuries and private issues
• Nominal and floating-rate coupons
• MBSs & ABSs
• Swaps, futures and options on interest rates
• Asset swaps

Economic Analysis and Monetary Policy

• Trade balance
• Business cycle
• Budgetary policy
• Monetary policy

• Practical workshop

• Influence of the business cycle on markets

Yield Curve Analysis

• Construct a spot yield curve
• Construct a forward yield curve
• Construct the implied inflation curve
• Analyse investors’ preferred habitats

• Practical workshop

• Analyse a yield curve and apply it to swap pricing

Bond Risk and Valuation

• Valuation, Yield to maturity and zero-coupon rates
• Modified duration and convexity
• Shift/twist/butterfly model
• Liquidity premium

• Practical workshop

• Bond pricing and risk analysis

Credit Spread Analysis

• Assessing default risk and recovery ratios
• Transition matrices
• Credit derivatives, CDS
• CDO and structured finance

• Practical workshop

• Valuation of a CDS

Risk Premium and Diversification

• Duration and extension risk
• Volatility risk
• Credit, liquidity, complexity risks
• Currencies: carry, value, momentum …

• Practical workshop

• Analysis of the Option Adjusted Spread (OAS) for a callable bond

Fixed income portfolio management

• Bond indices
• Investment processes and forms of organisation
• Investor’s evolving demand
• Fixed income performance analysis

• Practical workshop

• Develop an asset allocation based on a given scenario

Money market management

• Performance benchmarks
• NAV accounting issues
• Liquidity risk management
• Sources of added value

• Practical workshop

• Construct an enhanced money market fund using risk premium