Page 12 - MONECO Financial Training Catalogue

FIXED INCOME – PRICING, TRADING AND INVESTING

DATES: May 14 – 15, 2025 • PRICES: € 1,400 In-class, € 1,050 Online • LOCATION: Prague and Online
Attend this 2-day training course and learn about:

• The makeup of the bond market: This 2-day course covers a full spectrum of information on bonds and the
participants, motivations, different bond markets. We begin with the basics and the common approaches to
types of bonds and market bond pricing, but the course heads smoothly from there into the deeper
conventions detail behind pricing bonds properly, including the inferring of default
• The detailed pricing of bonds, from probability term structures and bootstrapping spot rate curves. Detail is
always handled carefully, and explanations focus on the intuitive rather than
the basic yield-to-maturity approach to the mathematical; explained from a market practitioner point of view.
bootstrapping spot rates and default
probabilities Once pricing is understood participants will learn about the various
• P/L attribution on a bond position approaches to understanding bond risk measurement and management.
• Measuring the risk of a bond position The classic risk metrics will be derived and discussed as well as the role of
convexity in determining the bond yields. Participants will learn how bond
and the popular risk metrics investment can be tailored to suit market and yield curve views and how
• Bond investing and trading strategies, return-seeking and liability-matching is achieved.
yield curve positioning, liability-driven
investment, credit and convexity plays The final section of the course introduces bond-related derivatives, futures,
interest rate swaps and credit default swaps. The mechanics and pricing
• Bond-related derivatives, including of these instruments is discussed and investment and trading strategies
bond futures, interest rate swaps and involving these derivatives are developed.
credit default swaps
• Using derivatives alongside bonds in The course contains numerical examples and spreadsheet exercises
trading and investing strategies to reinforce the technical learning, leaving participants with a first-hand
understanding of the quantitative details.
WEDNESDAY, MAY 14 – Calculating forward rates – what do – Risk bucketing and portfolio risk
00
09 – 09 10 they signify? management
Welcome and Introduction – Incorporating credit risk – how do – Convexity – the rate of change of
10
09 –12 15 we price in the chance of default? duration
The Bond Market and Bond Pricing – The concept of risk premium – the – Calculation of convexity in different
• Bond markets and the participants unquantifiable extra bonds – what drives the differences?
– The rationale for bond issuance • Repo – How is a convexity position paid for?
– Bond types – coupon, zero – Repo – the market for financing and – Comparing bonds of differing
coupon, floating rate notes, borrowing bonds convexities – which characteristics
callables – What drives the repo rate? effect the magnitude of convexity?
– Government bonds versus – Special versus general collateral – • Credit risk
corporate bonds – dealing with what’s the difference? – Differentiating credit risk from
credit risk • P/L attribution interest rate risk
– Comparing bonds to bank loans – Modelling P/L on a bond position – Credit risk metrics – spread DV01/
– Equity versus debt – the investor through time CS01
choice – Attributing P/L to specific causes
– Bond market participants and their – funding, coupon carry, curve roll THURSDAY, MAY 15
motivations yield, clean price movement 09 –12 15
00
– Liability matching and return Trading and Investing Strategies
15
seeking 12 –13 15 • Investment strategies
• Pricing bonds Lunch Break – Return seeking – buy and hold
15
– Conceptually how do we value a 13 –17 00 – Laddering – the benefits of building a
financial asset? Bond Risk Measurement bond ladder
– Understanding discounting and the • Interest rate risk – Liability matching – the concept of
choice of discount rate – How is interest rate risk generated immunisation
– Yield to maturity, coupon, and on a fixed income position? – LDI – liability-driven investment
price – Measuring interest rate risk – The limits of liability matching
– The yield curve – what drives the – The common risk metrics - • Yield curve directional strategies
shape? Macauley duration, duration, – Parallel shift plays
– The PV01 of a bond – what is it modified duration, DV01 – Curve twisting – constructing
telling us and how can we use it? – Calculating and contrasting risk steepeners and flatteners
– Accrued interest and clean bond metrics – which ones does investors – Bond butterflies – betting on yield
prices and traders focus on and why? curve concavity
– Modelling re-investment risk – How are the bond risk metrics a – Sizing and maintain yield curve
– Spot rates and bootstrapping a function of bond characteristics? strategies and attributing P/L
spot curve
12 Hybrid course – both classroom and online training available.