FM405E Half Unit
Fixed Income Securities and Credit Markets
This information is for the 2019/20 session.
Dr Peter Kondor
This course is available on the MSc in Finance (part-time). This course is not available as an outside option.
Students must have completed FM422E and FM423E.
- Interest rate modelling and derivatives
- Credit risk
- Credit derivatives and risk management
This course provides a thorough grounding in recent developments in fixed income securities pricing, hedging and portfolio management.
By the end of the course, the students will be familiar with the fixed income state of the art business practice and a variety of topics including (i) an analysis of the main products traded in the credit markets, such as government and corporate bonds, bond options, swaps, caps, floors, swaptions, callable, puttable and convertible bonds, and an analysis of the main credit derivatives such as total-return swaps, spread options and credit default swaps; (ii) the specific tools used in the industry practice to evaluate and hedge these products, which range from no-arbitrage trees and the calibration of yield curve derivatives to the main tools used to monitor and manage credit risk; (iii) the process of securitization, with particular reference to collateralized default obligations and mortgage-based securities.
30 hours of lectures in the MT.
This course is taught in the interactive lecturing format. There is no distinction between lectures and classes/seminars; there are “sessions” only, and the pedagogical approach in each session is interactive.
The primary source for this course is a comprehensive set of Lecture Notes, tutorials and case studies and the main reference is Pietro Veronesi: Fixed Income Securities, (Wiley 2010).
Exam (80%, duration: 2 hours, reading time: 15 minutes) in the summer exam period.
Coursework (20%) in the MT.
Total students 2018/19: 20
Average class size 2018/19: 22
Controlled access 2018/19: No
Value: Half Unit
Personal development skills
- Problem solving
- Application of information skills
- Application of numeracy skills
- Commercial awareness
- Specialist skills