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Bond Markets - Analytics, Risk & Pricing
Overview
This course is designed for anyone who needs to learn about Fixed Income markets & products. Also learn about the analytical tools required to value and/or manage the risk of individual fixed income securities or of a fixed income portfolio.
This 2 days hands-on programme will help you gain familiarity with the structure of primary and secondary markets, government bonds, corporate bonds and derivative products. The course also covers all the “Bond Maths” building blocks of fixed income analytics – present value, discount factors, yield, yield curves, duration and convexity – and their applications.
The programme also includes extensive practical exercises using Excel spreadsheets to ensure that participants can apply the learning immediately.
Learning Objectives
Explore primary and secondary markets, bond issuance processes, and the differences between bond types, structures, and market conventions.
Learn to calculate price, yield, clean vs. dirty prices, accrued interest, and analyze the yield curve and spreads such as z-spread and asset swap spreads.
Gain expertise in duration, DV01, convexity, VaR calculations, and effective hedging techniques for managing bond portfolio risk.
Understand bond futures pricing, cheapest-to-deliver identification, and how to hedge bond positions using futures while calculating futures DV01.
Use workshops to bootstrap a government bond curve, price new issues, and analyze trading positions and P&L components, including carry and roll-down.
Who the course is for
Fixed Income sales, traders, portfolio managers
Bank Treasury
Insurance
Pension Fund
ALM employees
Central Bank and Government Funding managers
Risk managers
Auditors
Accountants
