Fixed Income Risk Measurement

$129.00

Managing interest rate risk for both traders and fixed income portfolio managers is an integral part of risk management. This session examines both duration and the dollar value of a basis point (DV01) including calculations and applications of each risk measurement. The concept of convexity will be introduced and explained.

  • Date: Wednesday, June 19 – 1:00-3:00 p.m. ET or Wednesday, September 25 –
    1:00-3:00 p.m. ET
  • Recommended CPE Credits: 2.4
  • Instructor: Ken Kapner
  • Duration: 2 Hours
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Description

Managing interest rate risk for both traders and fixed income portfolio managers is an integral part of risk management. This session examines both duration and the dollar value of a basis point (DV01) including calculations and applications of each risk measurement. The concept of convexity will be introduced and explained.

Course Objectives

By the end of the course, participants will be able to:

  • Explain and apply duration and DV01
  • Describe how they are calculated
  • Explain the concept of convexity and its’ application

Prerequisites: Suggested but not required

  • Introduction to Capital/Financial Markets or equivalent knowledge
  • Introduction to Fixed Income
  • Fixed Income Instruments
  • Pricing Bonds

Program Level: Foundational

Target Audience: Anyone who wants to learn about fixed income risk measurements, such as staff from operations, IT, legal, compliance, middle office, or HR, and regulators who work closely with various aspects of the fixed income markets.

Client Testimonials:

Thanks … (the course) cleared some mystery and intimidation around concepts my business partners reference fluidly,” said a recent attendee.

“Duration and convexity were new concepts for me … good to understand at least the basics,” said a course participant.

Advance Preparation: None

Computers and Financial Calculators: Computers or tablets for viewing and accessing the electronic documents

Recommended CPE Credits: 2.4

Duration: 2 Hours

Price: $129.00

 

Additional information

Date:

June 19th, September 25th