l3 22 fixed- income portfolio management—part ii

This class was created by Brainscape user Steven Popovic. Visit their profile to learn more about the creator.

Decks in this class (13)

b discuss the use of repurchase agreements (repos) to finance bond purchases and the factors that affect the repo rate;
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a evaluate the effect of leverage on portfolio duration and investment returns;
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c critique the use of standard deviation, target semivariance, shortfall risk, and value at risk as measures of fixed- income portfolio risk;
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d demonstrate the advantages of using futures instead of cash market instruments to alter portfolio risk;
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e formulate and evaluate an immunization strategy based on interest rate futures;
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f explain the use of interest rate swaps and options to alter portfolio cash flows and exposure to interest rate risk;
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g compare default risk, credit spread risk, and downgrade risk and demonstrate the use of credit derivative instruments to address each risk in the context of a fixed- income portfolio;
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h explain the potential sources of excess return for an international bond portfolio;
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i evaluate 1) the change in value for a foreign bond when domestic interest rates change and 2) the bond’s contribution to duration in a domestic portfolio, given the duration of the foreign bond and the country beta;
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j recommend and justify whether to hedge or not hedge currency risk in an international bond investment;
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k describe how breakeven spread analysis can be used to evaluate the risk in seeking yield advantages across international bond markets;
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l discuss the advantages and risks of investing in emerging market debt;
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m discuss the criteria for selecting a fixed- income manager.
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l3 22 fixed- income portfolio management—part ii

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