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Bonds and Fixed Income Workshop Series

Event Description

**CLICK HERE TO REGISTER**​

Bonds and Fixed Income Workshop Series

23 to 25 September 2019

Trainer : Mr. Tariq Dennison​

This workshop is eligible for 7 CPD and CE hours per module

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This course is a modular 3-day introduction to how trade bonds, evaluate interest rate and credit risk, and how to build and manage a profitable bond portfolio. 

Day 1 begins with the basics of how bonds are quoted and traded, and the use of yield curve models.

Day 2 introduces how to put bonds together into managed portfolios, how to hedge using futures and swaps (including cross-currency), and the basics of fixed income risk management.

Day 3 focuses on Credit Risk, Options, Yield Enhancement and other advanced topics in fixed income, using examples from different fixed income funds. Participants will learn more on the calculation and application of concepts through real examples.​

Program:

23 September 2019, Monday (Module 1)
Fundamentals of Bonds, Yield Curves & Interest Rate Risk

Course Objectives:

  • Understand how bonds are quoted, traded, and financed via repurchase agreements (repos)
  • Master the bond math of duration, PV, FV and curve construction
  • Fit the yield curve to infer future central bank moves and identify steep/flat/rich/cheap points
  • Apply principle component analysis to understanding different yield curve shifts
Course Outline / Modules:

1. Simulation of bond trading, P&L, and repo
2. A classic asset liability management (ALM) problem: Duration matching, DV01 via tenor/allocation/leverage
3. The "rolling down the curve" bond investing strategy
4. Bootstrapping: Calculating today's price of any future cash flow
5. A simple model for fitting yield curves and forecasting interest rates
6. Introduction to principle component analysis (PCA) - a powerful tool for understanding how yield curves actually move​

24 September 2019, Tuesday (Module 2)
Portfolio Optimization, Futures, Swaps and Risk Management

Course Objectives:

  • Calculate the total return, volatility, Sharpe ratio, and other metrics of a bond portfolio
  • Optimize a fixed income portfolio using mean-variance and alternate techniques
  • Use futures and swaps to hedge or access specific types of fixed income exposure, with one cross-currency example
  • Apply the basics of risk management to a fixed income portfolio

Course Outline / Modules:

1. Calculation of total return vs. other measures of return, and how to calculate different measures of risk
2. 
Mean-variance optimization - how to maximize expected returns and minimize risk
3. Basics of fixed income futures and swaps and how to use them for hedging and yield enhancement
4. Basics of risk management including VaR and other risk measures, and how risk models fail.
5. Review of sample portfolios and historical ex​amples​

25 September 2019, Wednesday (Module 3)
Credit Risk and Options in Investment Grade and High Yield Bonds

Course Objectives:

  • Understand different types of options found in fixed income markets and the basics of how they are priced
  • Understand credit spreads, the risk they imply, and measures of return premium from investing in credit
  • Apply the concepts learned in the course to real examples found in fixed income markets​

Course Outline / Modules:

1. Basics of options, convertible bonds and option pricing, important differences between equity options and the simplest FI options
2. More options found only mostly in Fixed Income – "Bermudan" callables, Swaptions, Caps and Floors
3. Credit spreads - benchmark, asset swaps, credit default swaps, and implied default probabilities
4. ​Basics of capital structure arbitrage,  and structured credit trades
5. Recap using sample fixed income situations and different examples of bond funds​

Course Fee:

CFA Society Singapore member price : S$880* (Early Bird fee) / S$1,080* (Standard fee)

Non-member price : S$1,080* (Early Bird fee) / S$1,280* (Standard fee)

Early bird fee valid till 30 August 2019

* Prices before 7% GST

* 10% off for signup of 2 or more modules per delegate

Event Type

Society; Educational

Education Topic

Fixed Income; Private Wealth Management

Start Time

9/23/2019 9:00

End Time

9/25/2019 17:00

City

Singapore

State/Province

 

Event Country

Singapore

Event Region

Asia Pacific

Location Info

​TBA

Speaker

Mr. Tariq Dennison

CE Credits

7 per module

SER Credit

NIL

Currency

SGD

Member Price

S$880* (Early Bird fee) / S$1,080* (Standard fee)

Non-Member Price

S$1,080* (Early Bird fee) / S$1,280* (Standard fee)

Candidate Price

NIL

Registration

 

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Attachments

2019-09-23 to 25 Bonds and Fixed Income Workshop v1.pdf    
Content Type: MyCFA Calendar
Created at 5/10/2019 15:22 by charissa.tay@cfasingapore.org
Last modified at 7/9/2019 10:29 by charissa.tay@cfasingapore.org