Course Objectives
By the end of the course you will be able to:
- Calculate the key measures of risk and return in fixed income markets
- Understand duration, convexity, VaR and tracking error risk measures
- Understand different portfolio objectives and strategies
- Demonstrate the strategies and techniques used in active fixed income portfolio management such as carry trades, barbells, steepeners
- Identify the key products of the fixed income derivatives market
- Explain how futures, swaps and options can be used in fixed income portfolio management