Fixed Income Portfolio Management
Bond manager practices
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
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 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 :
- Gestion obligataire (Catalogue Finance)