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Fixed Income Profiles and Strategies: A Deeper Analysis


Executive Education - Open Programs

Patrícia Rodrigues


Phone: (+351) 217 214 220



More Information

Duration: 48,5 hours

Program Description

This program aims to a return to the basics of modeling and risk measurement for the fixed income instruments. The current financial crisis is leading to a profound change in terms of the risk analysis for all market participants. In that sense, regulators are preparing a new set of rules which are expected to minimize the potential impact on balance-sheets of business and economic cycles.

For banks, Basel III represents a significant challenge since it is going to require a deeper understanding of price risk, default probability and loss given default in order to mitigate capital and liquidity needs.

For insurance companies, Solvency II will mean a convergence between actuarial practices and mark-to-market valuation with direct impact, again, on capital and forcing to an ALM exercise (assets versus liabilities management).

Finally, for the traditional asset-managers and small investors, the on-going process of monitoring required on a portfolio strategy implies a wider knowledge of the current market dynamics, especially after the latest developments due to financial innovation.

Main Benefits

  • Participants will acquire a theoretical background in terms of the different profiles of payout that are offered by this class and also a practical view of the decision-making process associated with investment decisions;
  • In that sense, after each theoretical session, participants will be challenged to model the relevant investment spectrum and, based on that, to implement trading strategies with a specific limit for potential losses (Value-at-Risk methodology).


The monitoring of the performance of each trading strategy will be done, given real market moves, through the Thomson Reuters Eikon terminal. Participants will have training, provided by Reuters, on how to use a terminal and how to book each trading position. Finally, performance correlation among participants will be also monitored in order to stimulate creativity.



The sessions will have a strong practical component, aiming to evaluate the performance of the different trading strategies of each participant.


Zoeb Sachee

Head of Euro Government Bond Trading, Citigroup
Fixed Income Profiles and Strategies: A Deeper Analysis
The content of the course and profile of the speakers is highly relevant to the challenges that these businesses face today."