Fixed Income Risk Modeling and Performance Attribution Seminar, January 2009, Baruch College

[dstefan]

FIXED INCOME RISK MODELING AND PERFORMANCE ATTRIBUTION SEMINAR​

​

January 6 - January 22, 2009​

Baruch College, City University of New York​

Motivation: The current market environment places a premium on people with real skills in quantitative techniques to measure and model interest rate risk with a variety of models. In addition, where there are investment returns to analyze from fixed income portfolios, there is a premium placed on those people who do performance attribution on fixed income portfolios to answer questions such as the major sources of value added, relative contributions of security selection, timing, and more. Compared to many people working in risk management or performance attribution, financial engineers have the mathematical and computational background to tackle these problems by understanding, building, and applying more sophisticated models that can rely on fewer unrealistic assumptions

Overview: Over the course of 8 lectures, we will cover the mathematics of fixed income risk models and performance attribution, their implementation, and their application.

We will spend the first lecture reviewing bond pricing, duration, convexity, and methods of estimating the term structure of interest rates.

In the next 5 lectures, we will examine interest rate models in depth: M-Absolute and M-Square risk measures, duration vector model, key rate durations, and principal components analysis. Examples will be given of how to hedge using cash bonds, Eurodollar futures, bond options, and perhaps swaps.

The last 2 lectures will focus on how to attribute the returns in a fixed income portfolio to its various sources, building on the mathematics and models we used in the previous lectures.

Instructor: Greg Ciresi has a degree in physics and a Masters Degree in Mathematical Finance from the Courant Institute of Mathematical Sciences, New York University. He has worked as a quantitative analyst for several large equity and fixed income hedge funds in New York. Currently, he is Senior Financial Engineer of Structured Portfolios in the Debt Capital Markets Group at Cantor Fitzgerald. Since 2004, Greg has taught courses on Object Oriented Programming for Financial Applications, Risk Management, and Statistics for Finance (a course which he proposed and developed) as an Adjunct Professor in the Financial Engineering MS Program at Baruch College.

Format: Lectures, demonstrations, and class discussion will be given over the course of 8 sessions. There will be assigned readings, short quizzes to reinforce concepts, and a coding project to ensure that students can apply the models they are using.

Syllabus - Fixed Income Risk Modeling and Performance Attribution Seminar​

Pre-requisites: Knowledge of financial instruments and of C++

Schedule: The seminar will take place in January 2009. Every session is 6-9pm, unless otherwise specified.
Week 1: Tuesday January 6; Thursday January 8; Saturday January 10 (double session, 9am-12noon and 1-4pm)
Week 2: Tuesday January 13; Thursday January 15
Week 3: Tuesday January 20; Thursday January 22

Tuition: USD 750

Location: The course will take place in a computer lab in the Vertical Campus building of Baruch College, located in Midtown at Lexington Avenue and 24th Street.

Registration: To register for the course, or for more information, send an email to baruch.mfe@gmail.com

Textbooks
Interest Rate Risk Modeling (Wiley, 2005) Sanjay Nawalkha, et. Al.
Fixed Income Securities, 2nd Edition (Wiley, 2002) Bruce Tuckman
Fixed Income Attribution (Wiley, 2005) Andrew Colin

Lecture Topics
Session 1: Review: Duration, Convexity, and Term Structure Models
Session 2: M-Absolute and M-Square Risk Measures
Session 3: Duration Vector Models
Session 4: Hedging with Interest Rate Futures and Bond Options
Session 5: Key Rate Durations
Session 6: Principal Components
Session 7: Fixed Income Attribution Concepts
Session 8: Fixed Income Attribution Sources

Reading List: Nawalka = N; Tuckman = T; Colin = C
Session 1: N 1, 2, 3; T 1, 2, 3, 4, 5, 6
Session 2: N 4
Session 3: N 5
Session 4: N 6, 7; 16, 17, 19
Session 5: N 9; T 7
Session 6: N 10, T 13
Session 7: C 1,2,3,4,5,6,7
Session 8: C 8,9,10,11,12,13,14,15

 

[Sanket Patel]

I believe the author of Fixed Income Attribution is mistakenly listed as Carl Bacon - the correct author is Andrew Colin. Or perhaps title is referring to Bacon's Practical Portfolio Performance Measurement and Attribution?

 

[dstefan]

Indeed, the book is Fixed Income Attribution (Wiley, 2005) Andrew Colin.

Thanks, Sanket!

 

[shimba]

This is a great opportunity.

I really envy you guys who can participate in this seminar because I can not due to my location.

Instead, I will try another two excpet Tuckman which I already have been studying by myself.

Although my job is a fixed income analyst (junior level) in a small Asian country, I still can not practically implement the topics to be covered in the seminar.

Actually, I was rejected to this program for fall 2007, and I have worked at financial industry in my home country while still hoping to go to Baruch and work at Wall Street.

Now I have one more reason to go to Baruch.

 

[Andy Nguyen]

It is important for quantitative analysts in today market to have some knowledge or experience in risk modeling. I'm signing up for the seminar.

 

[dstefan]

The textbooks for the January 2009 Risk Seminar are now available in the Quant Lab at Baruch College.

The books will be available in the Quant Lab to the students taking the seminar throughout January.

Interest Rate Risk Modeling (Wiley, 2005) Sanjay Nawalkha, et. Al.
Fixed Income Securities, 2nd Edition (Wiley, 2002) Bruce Tuckman
Fixed Income Attribution (Wiley, 2005) Andrew Colin