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

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

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