Americas | 2016 | Managing Credit Risk in a Fixed-Income Portfolio


This two day programme covers the management of credit risk in a fixed income portfolio. The programme takes participants through the
analysis of risk on a standalone and portfolio basis. Emphasis is placed on the calculation / identification of standard risk inputs such as
default probability and loss given default and the application of these metrics in a Value at Risk style risk model. The programme also deals
with the management of the counterpart credit risk that is created by the hedging products that may be present in fixed income portfolios.
The programme ends with a discussion around the management of the portfolio risks using derivatives.

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