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Level

Introductory

Duration

5 days

Overview

This course has been designed to provide a detailed examination of the fixed income markets, with an emphasis on the practical application of the instruments for both asset and liability management.

Learning Outcomes

  • Compute present and future values of cash flows for different types of instruments and levels of credit risk
  • Understand conventional money and capital market instruments
  • Examine liquid asset requirements and calculate the cost of funds for a bank
  • Understand the repo market, and the use of repos for funding capital market positions
  • Comprehend the bootstrapping process used to generate a yield curve
  • Understand the term structure of interest rates
  • Gain a sound knowledge of the theory and practices of the interest rate derivative markets
  • Price different interest rate and cross currency swap structures
  • Examine the mechanics and applications of interest rate options
  • Critically assess modern risk management techniques for fixed income portfolios