When: Monday, March 5, 2018 - Tuesday, March 6, 2018

Timing: 11:00AM EST - 4:00PM

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