Fixed Income Attribution
This two-day class borrows from the fixed income attribution sections from our other classes, and goes deeper into the topic than ever before.
Fixed income attribution consistently remains one of the hottest (and confusing) topics
Recently, John D. Simpson, CIPM combined all the knowledge he's accumulated over his 30-year career on this topic and condensed it down into an easily digestible form.
Hours of John’s time went into designing and building this class. And while we could offer it as off-the-shelf training, and charge you $1,795 or more per student, we know that understanding fixed income attribution is important to you. This two-day class borrows from the fixed income attribution sections from our other classes and goes deeper into the topic than ever before. We've also included exercises so you can try out what you learn, and gain confidence in the material. Whether you're new to performance, or an industry vet who wants to fill in gaps, you will want to participate. This is your opportunity to strengthen your knowledge of the fundamentals, as well as the most advanced aspects of fixed income attribution.
Hours of John’s time went into designing and building this class. And while we could offer it as off-the-shelf training, and charge you $1,795 or more per student, we know that understanding fixed income attribution is important to you. This two-day class borrows from the fixed income attribution sections from our other classes and goes deeper into the topic than ever before. We've also included exercises so you can try out what you learn, and gain confidence in the material. Whether you're new to performance, or an industry vet who wants to fill in gaps, you will want to participate. This is your opportunity to strengthen your knowledge of the fundamentals, as well as the most advanced aspects of fixed income attribution.
Course Curriculum
- 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