This 6-hour, CPD-certified module provides a comprehensive, practical understanding of fixed income risk management. Designed for finance professionals, risk managers, and portfolio managers, the course delves into the core principles of bond pricing, yield curve dynamics, and the measurement and management of interest rate risk.
Participants will learn to apply sophisticated tools such as duration, convexity, and key rate duration (KRD) to quantify risk. The module bridges theory and practice by exploring advanced concepts like stochastic interest rate models (Vasicek, CIR) and performance attribution (Campisi model). Through real-world case studies (e.g., 2008 Financial Crisis, COVID-19), interactive workshops, and a final assessment, participants will develop the skills to design effective hedging strategies and navigate the complexities of modern fixed income markets.
Fees
COURSE OUTLINES
Course Objectives
Upon completion of this module, participants will be able to:- Understand the fundamental relationship between bond prices, yields, and credit spreads.
- Analyse and interpret the shape and movements of the yield curve.
- Construct a yield curve using bootstrapping and understand its principal components.
- Evaluate and apply yield curve strategies, including Bullet, Barbell, and Ladder approaches.
- Explain the core theories behind yield curve behaviour.
- Calculate and interpret Macaulay and Modified Duration.
- Utilise Key Rate Duration (KRD) for non-parallel yield curve shifts.
- Apply convexity to improve bond price predictions.
- Recognise the role of stochastic models such as Vasicek and CIR.
- Design and implement effective hedging strategies using derivatives.
- Differentiate between market liquidity risk and funding liquidity risk.
- Understand the impact of Basel III liquidity regulations (LCR and NSFR).
- Apply the Campisi Attribution model to analyse portfolio performance.
- Assess historical market events and their impact on fixed income risk.
- Demonstrate mastery of the concepts through a final assessment.
Course Content
Session 1: Bond Fundamentals & Yield Curves (2 hours)- Bond pricing and the price-yield relationship
- Credit spreads and their drivers
- Yield curve construction using bootstrapping
- Principal Component Analysis (PCA) of yield curves
- Yield curve strategies and theories
- Macaulay Duration, Modified Duration, and Key Rate Duration (KRD)
- Convexity: calculation, types, and application
- Stochastic interest rate models (Vasicek and CIR)
- Hedging principles and hedge ratio calculation
- Breakout exercise: designing a hedge
- Market liquidity risk versus funding liquidity risk
- Basel III liquidity framework (LCR and NSFR)
- Performance attribution using the Campisi model
- Case studies: 2008 Financial Crisis and COVID-19 market stress
- Final assessment
Assessment
A five-question multiple-choice assessment is conducted at the end of the module. A minimum pass mark of 70% is required to receive CPD certification.COURSE DETAILS
Course Details
- Duration: 6 hours (delivered in one day, including breaks)
- Training Dates: To be scheduled based on client requirements (TBA / RFQ)
- Delivery Options: Live online via Microsoft Teams or Google Meet
- Certification: CPD Certified (6 hours)
PREREQUISITES
A foundational understanding of financial markets and basic bond terminology is recommended. Experience in a finance or risk management role is beneficial but not mandatory.