Risk Management for Fixed Income Asset Managers

Volatile Markets Creating Unprecedented Challenges

This report outlines the problems that fixed income asset managers are facing in the midst of the volatile capital markets of 2011. These include challenges related to:

• Portfolio duration
• Yield curve structure
• Sector risk
• Security selection

It also offers detailed examples of how fixed income asset managers can use CME Group futures and options to manage their risks. Specifically, CME Group products can assist asset managers with the following issues:

• Measuring risk
• Managing duration
• Managing yield curve duration
• Sector weighting strategies
• Liability-driven investing

The Risk Management for Fixed Income Asset Managers report was written by CME Group research and interest rate staff.

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