Fixed Income Portfolio Management

Bond manager practices

Course objectives

  • Apprehend the portfolio management indicators

  • Understand the different instruments: fixed rate, floating rate, inflation linked, derivatives

  • Build real portfolio strategies through specific workshops

Course content

Bond pricing

  • Yield curve construction
  • Analyzing a bond : duration, modified duration and convexity

Case Study: Excel workshop

Bond Portfolio construction

  • Basic principles
  • Different approaches to portfolio management : insurance, index replicaiton, benchmark
  • Calibration of a process : tracking-error, risk measures

Case Study: Excel workshop

Strategies in a fixed income portfolio

  • Modified duration strategies
  • Curve strategies
  • Relative value strategies
  • Investments in corporate bonds

Case Study: Excel workshop

Use of asset swaps

  • Definition, pricing
  • Use in a portfolio

Use of Floating Rate notes

  • Definition, pricing
  • Use in a portfolio

Use of Inflation Linked bonds

  • Definition, pricing
  • Use in a portfolio

Olivier De Larouzière

Olivier De Larouzière

Olivier is in charge of Fixed Income and Foreign Exchange Management at Natixis AM. Olivier will share with you his experience of over 13 years within money and bond products, as a manager and trader for own account.

Olivier De Larouzière also teaches :

Prochaines sessions & informations :
Nous contacter