Note from June 29, 2020
Although we do not yet know how long the social distancing related to the Covid-19 pandemic will last, and regardless of the changes that had to be made in the evaluation of the June 2020 session in relation to what is provided for in this learning unit description, new learnig unit evaluation methods may still be adopted by the teachers; details of these methods have been - or will be - communicated to the students by the teachers, as soon as possible.
Although we do not yet know how long the social distancing related to the Covid-19 pandemic will last, and regardless of the changes that had to be made in the evaluation of the June 2020 session in relation to what is provided for in this learning unit description, new learnig unit evaluation methods may still be adopted by the teachers; details of these methods have been - or will be - communicated to the students by the teachers, as soon as possible.
5 credits
30.0 h
Q1
Teacher(s)
Nguyen Anh (compensates Platten Isabelle); Platten Isabelle; Vrins Frédéric;
Language
French
Prerequisites
MGEST1219 FINANCE
MGEST2164 Derivative Securities MGEST1219 FINANCE
MGEST2164 Derivative Securities
MGEST2164 Derivative Securities MGEST1219 FINANCE
MGEST2164 Derivative Securities
MGEST1219 FINANCE
MGEST2164 Derivative SecuritiesMGEST1219 FINANCE
MGEST2164 Derivative Securities
MGEST2164 Derivative SecuritiesMGEST1219 FINANCE
MGEST2164 Derivative Securities
Main themes
This course is designed to provide a comprehensive
introduction (level1 CFA and part of level 2) to fixed income
securities by covering the following broad topical areas:
- the institutions, instruments, and operations involved in
the fixed income securities markets;
- the valuation and the risks of fixed income securities;
- the term structure of interest rate;
- the use and application of interest rate derivatives in the
areas of risk management and financial engineering.
introduction (level1 CFA and part of level 2) to fixed income
securities by covering the following broad topical areas:
- the institutions, instruments, and operations involved in
the fixed income securities markets;
- the valuation and the risks of fixed income securities;
- the term structure of interest rate;
- the use and application of interest rate derivatives in the
areas of risk management and financial engineering.
Aims
At the end of this learning unit, the student is able to : | |
| 1 |
At the end of this course, students will be able to: - Describe and interpret the general features of fixed income securities and understand the basic operations of fixed income markets; - Apply the discount cash-flow technique to price bond and be able to describe the relationship between bond price and yield; - Illustrate the basic term structure of interest rates and to extract zero-coupon rates from bond yields; - To measure interest rate risk using the concepts of duration and convexity - Understand the features and uses of bond with option features ; - Use basic interest rate derivatives like futures and options to manage interest rate risk. - Explain the characteristics mortgage-backed securities and asset-backed securities; |
The contribution of this Teaching Unit to the development and command of the skills and learning outcomes of the programme(s) can be accessed at the end of this sheet, in the section entitled “Programmes/courses offering this Teaching Unit”.
Content
At the end of this course, students will be able to:
- Describe and interpret the features of
bonds and to understand the operations and
structuring of fixed income markets;
- To define the term structure of interest rates and
to extract zero-coupon rates from the prices of
bonds ;
- To measure the interest rate risk using the concepts of
duration and convexity;
- To understand the characteristics of bonds with
options and value them;
- To use interest rate derivatives, such as futures and
options, for the management of interest rate risk.
- To explain the characteristics of the securitized products
and mortgage backed securities
- Describe and interpret the features of
bonds and to understand the operations and
structuring of fixed income markets;
- To define the term structure of interest rates and
to extract zero-coupon rates from the prices of
bonds ;
- To measure the interest rate risk using the concepts of
duration and convexity;
- To understand the characteristics of bonds with
options and value them;
- To use interest rate derivatives, such as futures and
options, for the management of interest rate risk.
- To explain the characteristics of the securitized products
and mortgage backed securities
Teaching methods
- Lectures
- Case studies
- Practical sessions on Excel
Evaluation methods
Written exam
Online resources
Student corner
Bibliography
Pietro Veronesi, Fixed Income Securities, Wiley, 2010
Bruce Tuckman & Angel Serrat, Fixed Income Securities, Wiley, 2012
CFA® reference textbook : Barbara Petitt, Jerald Pinto, Wendy Pirie, Fixed Income analysis, Wiley, 2015
Frank Fabozzi, Fixed Income Analysis, Second Edition, 2007, Wiley, CFA Institute Investment Series
Bruce Tuckman & Angel Serrat, Fixed Income Securities, Wiley, 2012
CFA® reference textbook : Barbara Petitt, Jerald Pinto, Wendy Pirie, Fixed Income analysis, Wiley, 2015
Frank Fabozzi, Fixed Income Analysis, Second Edition, 2007, Wiley, CFA Institute Investment Series
Faculty or entity
CLSM
