Fixed Income Analysis and Quantitative Methods

Catalog description

This course is intended to provide both quantitative and analytical tools necessary for sound financial decision-making and an analysis of fixed-income securities and financial derivatives. IN the first part, the course will provide a sampling of the mathematical and statistical models used for theoretical, empirical and applied finance. Such models permit a deeper and easier understanding of most types of financial problems. In the second part, the course covers various types of fixed income securities and financial derivatives. We will start with an overview of the government bond market. Interest rate risk, duration and convexity, and the term structure of interest rate are topics to be covered. Through cases, we will learn how lack of adequate reporting and control can lead to disaster when institutions actively manage their bond. The module will examine how credit risk is incorporated into the pricing of corporate bonds and innovations in this market. The mortgage backed securities market and the peculiar risks associated with these securities will also be covered.