Two-Day Programme
Yield curve modelling
- Par, spot and forward rate term structures
- Analysis and interpretation of yield curves
- Constructing benchmark risk-free and swap curves
Interest Rate Risk
- Duration, DV01 and convexity risk measures
- Weighted and portfolio duration measures
- Risk measurement for option embedded bonds
- Using duration in hedging and trading strategies
- VaR, tracking error measures
Fixed Income Portfolio Management
- Portfolio construction: risk budgeting
- Performance measurement: information ratios, sharpe ratios
- Benchmarks and indices
Trading and Portfolio Management Strategies
- Passive management
- Active (alpha) strategies
- Macro and relative value strategies
- Curve trades, box trades, sector and security selection
- ALM and liability driven investment strategies
- Portfolio immunisation
Credit Derivatives
- Single name and index (iTraxx) Credit Default Swaps (CDS)
- pricing and risk characteristics of CDS
- Applications in credit portfolio management
Interest rate swaps
- Swap mechanics
- Pricing and valuation
- Documentation and legal issues
- Swap risks; swaps as a duration proxy
Inflation Swaps
- Inflation swaps (CPI, HICP)
- Break-even inflation (swaps vs. index linked bonds)
- Uses and applications of inflation derivatives
- Liability driven investment strategies
Active Interest Rate Strategies Using Swaps and Futures
- Applications of swaps/futures in portfolio management
- Macro rates and relative value strategies
- Benefits of separating liquidity from interest rate risk management
Interest Rate Derivatives
- Listed vs OTC derivatives
- Bond futures
- Interest rate swaps
- Swaptions