Deliver a framework for fixed-income risk management that allows participants to identify, measure, monitor, and hedge portfolio risk and understand risk-adjusted performance.
The workshop will progress from mathematical foundation, risk characteristics of various financial instruments, to portfolio level aggregation. Participants will learn through presentations and exercises to reinforce the concepts covered and perform hands-on case studies to build a solid foundation of the fi xed income management framework and build up analytical capacity for fi xed-income portfolio risk management. It is critical for practitioners to have concise and complete reports to facilitate risk management. As the outcome of case studies, attendees will produce some of these reports which they can tailor to their needs at work.
This course is suited for all levels of quantitative analysts, risk managers and portfolio managers with background in statistical techniques.