Fixed Income Analysis

MLSMM2123  2019-2020  Mons

Fixed Income Analysis
5.0 credits
30.0 h
1q

Teacher(s)
Platten Isabelle ; Vrins Frédéric ; Nguyen Anh (compensates Platten Isabelle) ;
Language
Français
Prerequisites

MGEST1219 FINANCE
MGEST2164 Derivative Securities
MGEST1219 FINANCE
MGEST2164 Derivative Securities

MGEST1219 FINANCE
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.

Aims

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

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

 

Faculty or entity


Programmes / formations proposant cette unité d'enseignement (UE)

Program title
Sigle
Credits
Prerequisites
Aims
Master [120] : Business Engineering
5
-

Master [120] : Business Engineering
5
-

Master [120] in Management
5
-

Master [120] in Management
5
-

Master [60] in Management
5
-

Master [120] in Business Management
5
-