Workshop on Advanced Portfolio Analytics for Fixed Income

GOAL

Provide participants with advanced tools and techniques for risk measurement and active risk budgeting, focusing on the practical application of these tools as well as scope and limitations.

COURSE DESCRIPTION

The workshop will refresh basic risk management concepts, explain the risk characteristics of certain complex financial instruments, and enhance participants’ knowledge of ways to measure, analyze, and manage risk in an Asset-Liability Management (ALM) framework.

DISCUSSION TOPICS

• Financial instruments, including Dual Currency Deposits, Callable bonds, Treasury Inflation Protected Securities (TIPS), Floating Rate Note (FRN) swaps and Mortgage backed securities (MBS)
• Risk measurements, including Value-at-Risk (VaR) and Expected Shortfall in both normal and non-normal environments
• Macroeconomic scenarios for stress-testing and scenario analysis
• Bloomberg Intelligence and PORT, Bloomberg’s portfolio and risk analytics solution
• Risk decomposition and risk budgeting

TARGET AUDIENCE

This course is best suited for junior and mid-level quantitative analysts and portfolio managers who have a background in quantitative and statistical techniques.