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Description

Fixed Income Portfolio Management: Yield Curve Analysis, Construction and Hedging

Manage a bond portfolio by connecting the yield curve, credit risk and investment constraints

  • 2 days — 14 h
  • In-person or virtual
  • Expert
  • Up to 6 participants

A bond portfolio rarely deteriorates overnight: duration left too long, an unmeasured credit bias, a pocket of illiquid securities that can no longer be sold at the quoted level. The portfolio manager must hold together a market view, a risk budget and the structure of the liabilities.

Two days for professionals already familiar with interest rate markets: reading the curve and its shifts, managing duration, arbitraging between credit segments and hedging exposures. The work is built around a single running portfolio that each participant adjusts through a series of successive scenarios.

Learning objectives

  • Analyse the yield curve and interpret its shifts
  • Measure the duration and convexity of a bond portfolio
  • Break down yield between its interest rate and credit components
  • Build a bond allocation consistent with investment constraints
  • Select a hedging instrument suited to the exposure to be neutralised
  • Explain realised performance through its sources of return

What makes this programme different

A single running portfolio is managed across several yield curve shift scenarios
Hedging decisions taken in the session are assessed against the following scenario
Performance attribution is rebuilt line by line by the participants

Programme

1Yield Curve and Valuation

A price is a discounted value

  • Building and reading the yield curve
  • Zero-coupon rates and implied forward rates
  • Clean price and accrued interest
  • Curve shifts and how to interpret them
  • The effect of carry and roll-down

2Interest Rate Risk Measures

Knowing how far you move

  • Sensitivity and duration
  • Convexity and the limits of the approximation
  • Key rate duration by curve segment
  • Risk contribution of each holding
  • Asset and liability matching and immunisation

3Credit Risk and Security Selection

Being paid for the risk taken

  • Yield decomposition and the credit premium
  • Credit analysis of an issuer and ratings
  • Sovereign, financial and corporate segments
  • Subordinated instruments and specific clauses
  • Security liquidity and the cost of exit

4Hedging, Allocation and Reporting

Decide, then explain

  • Instruments for hedging interest rate risk
  • Hedging credit risk and currency risk
  • Investment constraints and internal limits
  • Fixed income performance attribution
  • Reporting to the client and justifying the choices made

Who is it for

Fixed income portfolio managers · credit analysts · asset and liability managers · market risk controllers.

Prerequisites

A working command of the basic mechanics of interest rate markets.

Dates & locations

36 scheduled dates between November 2026 and December 2027. Seats are confirmed in the order enquiries are received.

November 2026

December 2026

January 2027

February 2027

March 2027

April 2027

May 2027

June 2027

September 2027

October 2027

November 2027

December 2027

None of these dates suit you? We open additional sessions on request, and any programme can be run privately for your team.

Practical details

Before the programme
Online positioning questionnaire. Your development objectives are shared with the trainer, who tailors the practical case studies to your context.
Teaching methods
Theoretical input, workshops and practical case studies. Digital course materials and method sheets provided.
Assessment
Multiple-choice tests and role-play exercises. Assessment of learning at the start and end of the programme, with immediate and 60-day follow-up evaluations.
After the programme
One year of access to the e-learning platform. Self-assessment of the skills acquired and a 30-day follow-up session with your trainer.
How to register
Registration online or on the basis of a quotation.
Lead time
11 working days after confirmation of registration.
Accessibility
Accessible to people of determination. Contact our accessibility coordinator to design a suitable solution: contact@mpf-academy.ae
Start dates
Rolling intake: in addition to the scheduled sessions, this programme can start on request.