Fixed Income Attribution Web Event – 2 DAYS

$1,195.00$3,495.00

 

  • Individual Investment – $1195
  • Single Location Site License – $2495
  • Global Site License – $3495
Clear

When: Monday, March 5, 2018 - Tuesday, March 6, 2018

Timing: 11:00AM EST - 4:00PM

Instructor: John D. Simpson, CIPM

Agenda

  • Background
  • Contribution
  • Review of Brinson Models
  • Fixed Income Basics
    • Types of bonds
    • Bond pricing  and valuation
    • Interest rate risk measures:  duration and convexity
    • Yield curve
    • Fixed income characteristics analysis
  • Types of Fixed Income Attribution Approaches
    • Exposure decomposition – duration based
    • Yield curve decomposition – duration based
    • Yield curve decomposition – full repricing
  • Fixed income Attribution Model Review
    • Campisi Model
    • McLaren Model
    • Van Breukelen Model
    • Fong-Pearson-Vasicek Model
  • Conclusions
* Breaks and lunch throughout the day

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