“It helps to relate different markets and instruments. Very good for risk managers.”
Liquidity Manager,
State Treasury Department,
Ministry of Finance

Fixed Income Investment
Practical, applicable knowledge & skills for managing bonds & fixed income

CE credits

This program is eligible for 18 CE credit hours as granted by CFA Society VBA Netherlands

Fixed Income Investment provides a practical overview of the fixed income markets, with focus on the management of bond portfolios.

How you will benefit

  • Increase your understanding of the different types of risk faced by bond portfolio managers
  • Learn about measures of risk such as duration and convexity as well as more advanced measures
  • Review fixed-income derivatives, options and swaps and understand their usefulness in bond portfolio management for hedging or speculating




Risk and Return for Bonds without Embedded Options

  • Yield measures
  • Risk measures: Part I
    -  Duration: Definition, usefulness, properties and limitations
  • Risk measures: Part II
    -  Convexity: Definition, usefulness, properties and limitations
  • Usefulness of duration in bond portfolio management: Immunization
  • Usefulness of convexity in bond portfolio management: Butterfly swaps

Risk and Return for Bonds with Embedded Options

  • Adjusted yield measures
  • Adjusted risk measures
    -  Adjusted duration
    -  Adjusted convexity
  • Bond portfolio management for bonds with embedded options

 New Measures of Risk

  • Factor based measures of risk
    -  The shift
    -  The tilt
    -  The flex
  • Key rate durations

Use of Derivative Instruments in Bond Portfolio Management: Part I - Interest Rate Swaps

  • Interest rate swaps as portfolio of bonds
  • Risk of interest rate swaps: Interest rate risk and credit risk
  • Swap rationale
  • Advanced swaps: Forwards and swaptions
  • Usefulness of swaps in bond portfolio management


Use of Derivative Instruments in Bond Portfolio Management: Part II - Options

  • Pricing interest rate options
    -  Typology of interest rate options
    -  Simple payoff diagrams
    -  Pricing interest rate options: The Black, Derman and Toy Model

Use of Interest Rate Options in Bond Portfolio Management

  • Pricing examples
    -  Bonds with embedded options
    -  Sinking funds
  • Reshaping bond portfolio returns with options
  • Hedging asymmetric risk with options
  • Duration hedging with convexity adjustment using futures and options


Who should attend

The typical participant will be an investment professional, analyst or plan sponsor. This includes bond analysts, pension fund advisors, risk managers, private client portfolio managers and consultants to the fund management industry. Those responsible for the management of fixed-income portfolios within banks, pension funds and insurance companies are advised to attend.

Pierre Hillion 

Pierre Hillion is the de Picciotto Chair at INSEAD in Alternative Investments and Visiting Professor at UCLA and CalTech. He received his MBA from Ecole HEC, holds a DEA from the Université Paris-Dauphine and a PhD from the University of California in Los Angeles (UCLA). 

Pierre's research interests lie in the areas of empirical tests of asset pricing models, options pricing models and empirical corporate finance. 

Dates & fees
11 - 13 November 2019 € 3,600

Program fee includes all study materials, books and software that are required for the program as well as daily luncheons.
Program fee is exempt from VAT for clients located in the Netherlands. For other EU and Non-EU clients, VAT may be due by client and will not be charged by AIF. Fees may be subject to change.

100% of the attendees in the November 2017 session would recommend the Fixed Income Investment program to their colleagues.


“Perfect introduction to the field. Deep enough to work with it, condensed enough to understand it.”
Economist / Owner
The Netherlands

“It helps to relate different markets and instruments. Very good for risk managers.”
Liquidity Manager, State Treasury Department
Ministry of Finance


“Well explained, in depth and good overview of the fixed income markets.”
Client Portfolio Manager
 Asset Management
The Netherlands


"I would recommend this program because it is a very practical, well explained overview of the fixed income markets. The subjects discussed are very useful."
Senior Manager
Saudi Hollandi Bank
Saudi Arabia


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