Hands-on training covering all the aspects of the management of a fixed rate bond portfolio (active strategies and immunization strategy) Prior basic knowledge of interest rate products is recommended

Learning Objective:

At the end of this session, participants will be able to:

• Define bond portfolio management;
• Select and construct portfolios of bond investment;
• Diversify risks;
• Evaluate bond portfolio performance.

Course Outline

• Fundamentals of bond valuation
• Bond characteristics : maturity, internal rate of return, duration, convexity
• Determination of bond portfolio characteristics
• Theoretical explanations of the interest rate term structure
• Index-based active portfolio management strategies
• Statistical analysis of the yield curve : Nelson-Siegel model
• Economic analysis of the yield curve : bear/bull flattening, bear/bull steepening
• Introduction to several active strategies : bullett, barbell, ladder
• Immunization strategies of a bond portfolio
• Theoretical bases of immunization : acquired avlue and duration
• Single period immunization and multiple period immunization
• Conditional immunization and hybrid strategies
• Diversification of a portfolio using derivatives
• Hedging using swaps or futures
• Hedging using vanilla options (cap, floor, collar)
• Hedging using synthetic products (swaptions, variance swaps)