Fixed Income Attribution Live Web Event

$450.00$2,500.00

 

  • Individual Investment – $450
  • Single Location Site License – $1,500
  • Global Site License – $2500
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Description

When: Friday, April 21, 2017

Timing: 9:00AM EST – 5:00PM

Instructor: John D. Simpson, CIPM

Agenda

  • Background
  • Contribution
  • Review of Brinson Models
  • Fixed Income Basics
    • Types of bonds
    • Bond pricing  and valuation
    • Interest rate risk measures:  duration and convexity
    • Yield curve
    • Fixed income characteristics analysis
  • Types of Fixed Income Attribution Approaches
    • Exposure decomposition – duration based
    • Yield curve decomposition – duration based
    • Yield curve decomposition – full repricing
  • Fixed income Attribution Model Review
    • Campisi Model
    • McLaren Model
    • Van Breukelen Model
    • Fong-Pearson-Vasicek Model
  • Conclusions
* Breaks and lunch throughout the day

Additional information

Webinar Attendees

Individual Investment, Single Location Site License Investment, Global Site License Investment

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