Managing Market Risk in a Fixed-Income Portfolio

This two-day course covers the management of market risk in a fixed income portfolio. 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 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