Fixed Income Module
Provided on a 3 level basis (introductory, intermediate and advanced), our fixed income training program spans accross the full spectrum of the debt capital markets, whether it's on the structure of the market, the instruments, the issuance, trading, investment and settlement process or the risk measures, sensitivity analysis and the credit rating. Workshops include also case studies, applications and simulations.
Some features of our fixed income program are outlined below:
Structure of the Debt and Equity Capital Markets.
Debt Instruments, Issuance, Investing,Trading and Settlement.
Overview of Money Market Instruments
Government and Corporate Bonds
Inflation Indexed Bonds
Convertible Bonds
Callable/Putable Bonds
Securitized Issues
Eurobonds/Global Bonds
Bond Issuance, primary and secondary markets, day count conventions, trade capture and front office
Settlement Process
Characteristics of Bonds such as Indenture, covenants, provisions, maturity, coupons, fixed versus floating rate, accrued interest, dirty versus clean price, rating and spreads.
Bond Mathematics; price, return, time value of money, present value and future value, discounting, compounding, annuities,perpetuities.
Bond Valuation
Bond Financing, margin and repo
Interest Rate Risk; duration, convexity, PV01 and CS01
Credit Risk; Probability of default, recovery, exposure at default, loss given default.
Yield Curve;shapes, theories, parallel versus nonparallel shift, component analysis
Bond Strategies; passive/active, long/short, flatteners/steepeners, convergence/divergence, arbitrage
Bond Futures;pricing, cheapest to deliver, conversion factors, basis, net basis, basis trading strategies
Risk and Sensitivity Analysis; effect of maturity, coupons, interest rates, duration, taylor approximation, MacCaulay Duration, Modified Duration, ConvexitY, PV01, CS01
Interest Rates Risk, Yield Curve Risk, Call and Prepayment Risk, default risk, credit spread risk, downgrade risk, liquidity risk, exchange rate risk, inflation risk, volatility risk, event risk, sovereign risk.
Credit Risk Mitigation, Rating transition matrices, correlation, portfolio loss distribution
Credit Scoring Systems, Commercial Credit Risk Models; CreditMetrics, CreditRisk+ and KMV