Fixed Income Analysis

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.

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;

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

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%

- Part 2: Prof. F. Vrins (50% of total)

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

Given the continuous assessment, class participation is strongly recommended.
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

Faculty or entity

CLSM