London Financial Studies

Fixed Income Attribution

4.4 fantástico 7 opiniones
London Financial Studies
En London (Inglaterra), Singapore (Singapur)
  • London Financial Studies

3001-4000 €
CURSO PREMIUM

Información importante

Tipología Short course
Lugar En 2 sedes
Duración 2 Days
Inicio Fechas a elegir
  • Short course
  • En 2 sedes
  • Duración:
    2 Days
  • Inicio:
    Fechas a elegir
Descripción

This hands on course enables participants to get a practical working experience of fixed income attribution, from planning to implementation and analysis. After completing the course you will have developed the skills to:

Understand how attribution works and the value it adds to the investment process
Interpret attribution reports from commercial systems
Assess the strengths and weaknesses of commercially available attribution software
Make informed decisions about the build vs. buy decision
Present results in terms accessible to all parts of the business

This course is also available remotely via LFS Live.

Información importante
¿Qué objetivos tiene esta formación?

¿Esta formación es para mí?

Performance analysts
Fund and portfolio managers
Investment officers
Fixed Income professionals (marketing/sales)
Auditors and compliance
Quants and IT developers

Requisitos: A basic understanding of fixed income products Microsoft Excel

Instalaciones (2) y fechas
Dónde se imparte y en qué fechas
Inicio Ubicación
Fechas a elegir
London
34 Curlew Street, se12nd, London, Inglaterra
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Fechas a elegir
Singapore
The Finexis Building, Singapore, Singapur
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Inicio Fechas a elegir
Ubicación
London
34 Curlew Street, se12nd, London, Inglaterra
Ver mapa
Inicio Fechas a elegir
Ubicación
Singapore
The Finexis Building, Singapore, Singapur
Ver mapa

Opiniones

4.4
fantástico
Valoración del curso
94%
Lo recomiendan
4.4
fantástico
Valoración del Centro

Opiniones sobre este curso

F
Former Student
12/10/2016
Lo mejor: Very accurate course, it gave me a deeper knowledge of the topic and the techniques used in the financial market.
A mejorar: Nothing.
Curso realizado: Octubre 2016
¿Recomendarías este centro?:
A
Anonymous
09/09/2016
Lo mejor: The course was exceptionally significant to me, particularly the all around arranged Excel work assignments. Much thanks.
A mejorar: Nothing.
Curso realizado: Septiembre 2016
¿Recomendarías este centro?:
A
Anonymous
08/10/2016
Lo mejor: All around organized course that advantages from the bits of knowledge in industry rehearse Rupesh gives en route.
A mejorar: Everything OK.
Curso realizado: Octubre 2016
¿Recomendarías este centro?:
* Opiniones recogidas por Emagister & iAgora

¿Qué aprendes en este curso?

Risk
Stock Markets
Money Markets
Securities
Fixed Income
Credit
Microsoft Excel
Performance
Marketing
Benchmarking
Performance evaluation
Bonds
Asset Allocation
Fixed Income Attribution
EMD
Frongello
Perpetuals
MBS
Menchero
Geometric

Temario

Day One

Laying the groundwork
  • Attribution: what it is, why it’s useful
  • The basics of performance measurement
  • Foreign exchange, hedging and benchmarks
  • Stock selection and asset allocation
    - Brinson Fachler and Brinson Beebower Hood models
  • Why forwards can drastically change an attribution analysis:
    - Brinson and Karnosky Singer models
  • Why smoothing is needed and how to do it:
    - Carino, Menchero, Frongello, geometric and other models
Exercise: performance, equity attribution, forwards and smoothing in practice

Review of fixed income fundamentals
  • A quick overview of fixed income risk; a bond as a bundle of risks
  • Yield curves: par, zero and real
  • Pricing, risk and the fundamental attribution equation
Exercise: Breaking down the yield curve

Decomposing fixed income return
  • Carry and roll down return
  • Risk free curve return:
    - duration
    - shift/twist/butterfly
    - key rate durations
    - principal components
    - two and three factor models to describe yield curve movements
  • Sector and credit return:
    - country spread
    - spread change allocation and selection
    - sector and security specific returns
  • Paydown return for amortizing securities, convexity return, repricing return, trading return
  • Widely used attribution models:
  • Campisi
  • Tim Lord
  • Van Breukelen
  • top down
  • EMD
  • high yield
Exercise: Different approaches to attribution

Day Two

Attribution by security type
  • Bonds and perpetuals
  • Money markets: Cash, bills, discount securities, CDs, FRNs, forwards
  • Inflation linked securities and breakeven return
  • Futures and the cheapest to deliver
  • Sinkers: amortizing bonds, MBS and ABS
  • Swaps
  • Credit derivatives
  • Options and callable/puttable bonds
Exercise: Running attribution on a real portfolio

Attribution and risk
  • Applying attribution to Value at Risk: calculating VaR and ETL on attribution returns
Bringing it together
  • Useful tricks and short cuts
  • Reporting and residuals
  • Other attribution models (style attribution, risk attribution, stochastic attribution)
Various other examples will be shown during the course, including:
  • Duration attribution
  • Assessing curve steepening
  • Sector and credit spread analyses
  • Breakeven trades in inflation linked portfolios
  • Barbell and other curve positioning strategies
  • High yield attribution
  • Top down attribution
  • Handling options
In addition, answers to the following questions will be discussed:
  • Curvature versus convexity: what’s the difference?
  • What is the right way to measure parallel shift?
  • Why a zero coupon bond shows time return without accruing interest?
  • How many risk factors has an FRN?
  • Modified duration, Fisher Weil duration or DV01: which risk measure is best for attribution?
  • How to handle hedged benchmark issues?
Este curso está en español. Traducir al inglés