Fixed Income Securities

Catalog description

This course develops a framework for the analysis of fixed income securities, one of the largest segments of global financial markets. Valuation and risk-return characteristics of these instruments are examined, in addition to trading and portfolio strategies for bonds, forwards, swaps, and repurchase agreements. Students examine these securities with regard to duration, convexity, credit risk, and formal term structure models. Various data sources and financial software, including Bloomberg Professional ®, are used to integrate theoretical concepts with practical applications. The aim of this course is to provide you with an introduction to the valuation of fixed income securities and the management of fixed income investment portfolios. In their simplest form, fixed income securities are characterized by pre-determined cash-flows that occur at fixed points in time, thus the term "fixed income". Coupon bonds are the most widely recognized fixed income securities. We will start with the basics of bond pricing - the relationship between the price of a bond, measures of return on the bond, and measures of risk. The tools for the valuation of bonds, fixed income derivatives and credit derivatives will be covered. With these building blocks in place, we will discuss bond portfolio management and construction.