Fixed Income Analysis

Teacher(s)

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

Language

French

Prerequisites

MGEST1219 FINANCE
MGEST2164 Derivative Securities MGEST1219 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.

Learning outcomes

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

• Lectures
• Case studies
• Practical sessions on Excel

Evaluation methods

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

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

- Part 2: 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%

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