Fixed Income Analysis

mlsmm2123  2021-2022  Mons

Fixed Income Analysis
5 credits
30.0 h
Q1
Language
French
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 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


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

    Title of the programme
    Sigle
    Credits
    Prerequisites
    Aims
    Master [120] : Business Engineering

    Master [60] in Management

    Master [120] in Management

    Master [120] in Business Management

    Master [120] in Management

    Master [120] : Business Engineering