Due to the COVID-19 crisis, the information below is subject to change,
in particular that concerning the teaching mode (presential, distance or in a comodal or hybrid format).

5 credits

30.0 h

Q1

Teacher(s)

Nguyen Anh (compensates Platten Isabelle); Platten Isabelle; Vrins Frédéric;

Language

French

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

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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; |

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

Due to the COVID-19 crisis, the information in this section is particularly likely to change.

- Lectures
- Case studies
- Practical sessions on Excel

Evaluation methods

Due to the COVID-19 crisis, the information in this section is particularly likely to change.

A course, with two different parts:- Part 1: Prof. A. Nguyen (50% of the total)

Composed of

- Final written exam (during the exam session): 60%
- Continuous assessment (during the year, including class participation): 40%

- Final written exam (during the exam session): 100%

__Grade on the Continuous Assessment is definitive.__

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**