Yield Curve Construction, Trading Strategies, and Risk Analysis (Fixed Income Analysis Course)

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Bernd Hanke, CFA | Gregory G. Seals, CFA
Source: CFA Institute

Bernd Hanke, CFA, currently works as a consultant in the investment management field. Until 2009, he was an asset manager at GSA Capital Partners LLP, a London-based hedge fund; while there, he researched quantitative equity and portfolio management in a market-neutral context. Prior to his time at GSA Capital, Dr. Hanke served as a vice president in Quantitative Investment Strategies at Goldman Sachs Asset Management in New York City, where he focused on quantitative equity return and risk modeling that was used to manage long-only mutual funds as well as market-neutral hedge funds. He received his PhD in finance from the London Business School, concentrating on empirical asset pricing and the impact of liquidity on asset prices. Dr. Hanke became a CFA charterholder in 2003.

Note: Biographical information is accurate as of the time of posting.

Gregory G. Seals, CFA, is the director of Fixed Income and Behavioral Finance at CFA Institute in Charlottesville, Virginia, where he develops educational content, programming, conferences, and publications related to fixed income and behavioral finance for charterholders. Prior to joining CFA Institute in May 2008, Mr. Seals spent 14 years at Smith Breeden Associates, most recently in the position of senior portfolio manager and principal of the firm. He managed institutional core fixed-income portfolios and specialized in investment-grade corporate debt. Mr. Seals has also traded and managed portfolios of mortgage-backed securities. Prior to his money management career, Mr. Seals taught introductory finance courses at California State University and St. Joseph’s College in Indiana. Mr. Seals has a BS in finance and an MBA from California State University.

Note: Biographical information is accurate as of the time of posting.

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Summary

This practitioner-oriented course focuses on understanding how the yield curve affects portfolio strategies and risk management. It includes interactive exercises to help teach and interpret future and implied spot rates, duration and convexity, and the use of option-adjusted spreads in different types of securities.

This course is divided into 5 modules, each of which contains readings, activities, and a quiz.

  1. Interest Rate Measures, Par, Spot, Forwards, and Future Implied Spot Yields 
  2. Full Valuation Approach: Effective Duration/Convexity and Key Rate Durations 
  3. Yield Curve Trades: Computing and Decomposing Expected Returns 
  4. Hedging Interest Rate Risk Using Caps and Floors 
  5. Option-Adjusted Spreads (OAS) and Other Yield Spreads 

The course is expected to take approximately 5 hours to complete. Certificates are available for individual modules.

Select the Launch button above to log in and access this course as well as your personal learning history for online courses.

A print version of this course is also available. 

This content is provided for continuing professional development purposes and is not intended to be used as a substitute for study for any CFA Institute candidate program.
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Price
US$0.00 Member | US$0.00 Candidate | US$125.00 Nonmember
Credits · About the CE Program
5 CE (including 0 SER) Manage CE Credits

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