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Executive Education - April 16, 2014

New Yale School of Management–EDHEC-Risk Institute executive seminar unveiled

In the wake of the successes of the “Strategic Asset Allocation and Investment Solutions” and “Equity Investment” seminars – which drew over one hundred and fifty participants – EDHEC-Risk Institute and Yale School of Management have unveiled their third joint executive seminar.

Looking at “Fixed Income Investment”, the new seminar will feature EDHEC-Risk PhD in Finance core faculty member Professor Frank Fabozzi, Chueng Kong Graduate School of Business Chair Professor of Finance Li Haitao and EDHEC Business School Affiliated Professor of Finance Dominic O’Kane. Professors Fabozzi and Li are also Teaching Fellow in Executive Programmes at the Yale School of Management: the former was Professor in the Practice of Finance prior to joining EDHEC Business School, while the latter is an alumnus of the PhD programme at Yale University. The two previous seminars featured Yale School of Management International Centre for Finance Director Professor William Goetzmann, Zebra Capital Management Chairman and Yale School of Management Professor in the Practice of Finance Roger Ibbotson, and EDHEC-Risk Institute PhD in Finance core faculty members Professor Lionel Martellini, Scientific Director of EDHEC-Risk Institute and Professor Raman Uppal.

On the first day of the seminar, Professors Fabozzi and Li will cover the skills necessary for valuing and assessing the relative value of fixed income securities, the methodologies for constructing bond portfolios for a given investment strategy, the knowledge to use derivatives for controlling interest-rate risks in a cost effective manner, and advanced tools for performance measurement. In the morning of the seminar’s second day, Professor O’Kane will analyse the use of credit derivatives for investment and hedging purposes and explore the practical aspects of implementing such approaches – the seminar will focus on the use of credit default swap (CDS) and CDS indices as tools for portfolio diversification and also as ways to implement macro, capital structure and sector-based credit strategies in a way which is not possible with bonds. The seminar will conclude on an analysis of the shortcomings of existing bond benchmarks, and review the "smart" bond benchmarks, which have been proposed as an alternative, looking at the merits and limits of fundamental weighting, investigating minimum concentration, risk parity, minimum variance and maximum Sharpe ratio bond benchmarks, and discussing bond portfolio optimisation with duration constraints.

This course is part of a structured programme of seminars giving participants the opportunity to earn the Yale School of Management – EDHEC–Risk Institute “Certificate in Risk and Investment Management”. The series also includes seminars alternative investment, multi-management and structured product investment.

The seminar is offered on the Yale campus in New Haven, Connecticut on 9-10 June 2014 and at EDHEC Risk Institute–Europe in the City of London on 25-26 June 2014.