Managing Credit Risk in Investment Portfolios

Credit Market
  • Credit Products
  • Straight and callable bonds, FRNs
  • Hybrid and exotic products
  • Single name and portfolio CDS/CLN
  • CDOs
  • Market Structure and Recent Dynamics
  • Origin of the issuer/currency
  • Sector/Industry/Rating/Size
  • Derivatives and structured products
Indices and Index Products
  • Categories
  • Lehman, Merrill, NASD-Bloomberg
  • IBoxx/ITraxx
  • Rules
  • Universe, composition and turnover
  • Weighting, financial gearing bias, diversification
  • Pricing sources and analytics
  • Products
  • Total return swaps
  • ETFs
  • Choice of Index
  • Risk exposure/diversification
  • ALM considerations
  • Replication and tracking error
  • Practical workshop
  • Selection of an index and replication strategy
Risk Management
  • Spread Analysis
  • Default risk and estimated recovery rate
  • Liquidity
  • Option component, OAS
  • Spread curves
  • Benchmarks and methodology
  • Relation to interest rate curve
  • Use for forecasting
  • Sensitivity
  • Duration spread
  • By maturity segment
  • VaR and stress tests
  • Correlation
  • Credit and contagion risk
  • Credit/liquidity and joint risk: flight to quality
  • Credit/interest rates and default risk/effective duration
  • Practical Workshop
  • Create a risk monitoring table
Strategies: Management/Trading
  • Strategies: Management/Trading
  • Macro Strategies
  • Liquidity constraints, risk premium and active management opportunity
  • Credit/interest rate risk allocation, diversification Relative Value Strategies
  • By sector
  • Long/short credit
  • Arbitrage Strategies
  • Capital structure
  • Spread curve arbitrage
  • Basis arbitrage
  • Correlation Trading
  • Practical Workshop
  • Study various strategies: sourcing, implementation, risk/return analysis

  • Analyse credit products and use them efficiently
  • Know the characteristics of different indices and be able to recommend a benchmark
  • Analyse the risk exposure of a credit portfolio
  • Conceive an active credit management strategy
  • Exhaustive approach to credit management:passive management, macro strategies, sector rotation, stock picking and arbitrage
  • Analysis of bond management credit risk
  • Real-life examples and case studies
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