Bonds and Fixed Income Workshop Series (3 modules)

20 September 2017, Wednesday (Module 1) - Fundamentals of Bonds, Yield Curves & Interest Rate Risk

21 September 2017, Thursday (Module 2) - Portfolio Optimization, Futures, Swaps and Risk Management

22 September 2017, Friday (Module 3) - Credit Risk and Options in Investment Grade and High Yield Bonds 

Trainer : Mr. Tariq Dennison



This course begins with the basics of bond trading, and over 3 days is meant to cover many of the major topics and situations face by managers of fixed income portfolios. Day 1 starts with the fundamentals of Bonds, Yield Curves, and Interest Rate Risk using mostly US Treasury bills, notes and bonds as examples. Day 2 covers how to put bonds together into portfolios, how to hedge using futures and swaps, and the basics of risk management. Day 3 focuses on Credit Risk, Options, Yield Enhancement and other Advanced Topics, using examples from different fixed income funds. Participants will learn more on the calculation and application of concepts through real examples.

Who should attend?

Current or future bond investors, bond fund managers, wealth managers / private bankers, fixed income sales professionals, CFA candidates, and CFA charter-holders looking to refresh or sharpen their fixed income skills can benefit from this course.  Attendees are assumed to be comfortable with the basics of Microsoft Excel, but are not expected to have any background in fixed income.

Course Outline :

20 September 2017 September 2017 (Module 1) : Fundamentals of Bonds, Yield Curves, and Interest Rate Risk

      Course Objectives:

     -        Understand how bonds are quoted, traded, and financed via repurchase agreements (repos)

     -        Master the bond math of duration, PV, FV and curve construction

     -        Fit the yield curve to infer future central bank moves and identify steep/flat/rich/cheap points

     -        Apply principle component analysis to understanding different yield curve shifts

     Course Outline / Modules:

  1. Simulation of bond trading, P&L, and repos)
  2. A classic asset liability management (ALM) problem: Duration matching, DV01 via tenor/allocation/leverage
  3. The "rolling down the curve" bond investing strategy
  4. Bootstrapping: Calculating today’s price of any future cash flow
  5. A simple model for fitting yield curves and forecasting interest rates
  6. Introduction to principle component analysis (PCA) - a powerful tool for understanding how yield curves actually move

Course Outline :

21 September 2017 (Module 2) : Portfolio Optimization, Futures, Swaps and Risk Management

     Course Objectives:

           -        Calculate the total return, volatility, Sharpe ratio, and other metrics of a bond portfolio

           -        Optimize a fixed income portfolio using mean-variance and alternate techniques

           -        Use futures and swaps to hedge or access specific types of fixed income exposure

           -        Apply the basics of risk management to a fixed income portfolio

      Course Outline / Modules:

  1. Calculation of total return vs. other measures of return, and how to calculate different measures of risk
  2. Mean-variance optimization - how to maximize expected returns and minimize risk
  3. Basics of fixed income futures and swaps and how to use them for hedging and yield enhancement
  4. Basics of risk management including VaR and other risk measures, and how risk models fail.
  5. Review of sample portfolios and historical examples 

Course outline : 

22 September 2017 (Module 3) : Credit Risk and Options in Investment Grade and High Yield Bonds

      Course Objectives:

      -        Understand different types of options found in fixed income markets and the basics of how they are priced

      -        Understand credit spreads, the risk they imply, and measures of return premium from investing in credit

      -        Apply the concepts learned in the course to real examples found in fixed income markets

      Course Outline / Modules:

  1.  Basics of options, convertible bonds and option pricing, important differences between equity options and the simplest FI options
  2. More options found only mostly in Fixed Income – "Bermudan" callables, Swaptions, Caps and Floors
  3. Credit spreads - benchmark, asset swaps, credit default swaps, and implied default probabilities
  4. Basics of capital structure arbitrage,  and structured credit trades
  5. Recap using sample fixed income situations and different examples of bond funds

This workshop is eligible for 7CE hours per module

Course Fee:

CFA Singapore member price : S$880*  per module (Early Bird fee) / S$1,080* per module (Standard fee)

Non-member price : S$1,080* per module (Early Bird fee) / S$1,280* per module (Standard fee)

Early bird fee valid till 24 August 2017

* Prices before 7% GST

* 10% off for sign up of 2 or more modules per delegate

Please email for more details

Download course brochure here   |   Click here for our CFA Singapore official webpage

Tariq Dennison

Mr. Tariq Dennison is partner at Global Financial Markets Training, and has previously worked at Societe Generale, CIBC, JP Morgan, Bear Stearns, Commerzbank, and Andersen Consulting (now Accenture). He earned his Masters in Financial Engineering from the University of California at Berkeley’s Haas School of Business and his Bachelor of Science in Mathematics from Marquette University. Tariq is often praised for his ability to explain complex financial concepts in clear and simple terms to both financial experts and lay people, and for his pioneering work in new financial products. He traded the first Thai Baht denominated credit-linked note at Societe Generale, CIBC’s only Canadian Dollar structured note in Asia in 2010, and numerous “firsts” for Bear Stearns, including their first structured FX and Commodity structured notes, their first access product to India, and their first suite of US and Latin American algorithmic strategy indices.

Wednesday, September 20, 2017-
Friday, September 22, 2017

09:00 a.m.-05:00 p.m.


Tariq Dennison

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