FM405      Half Unit
Fixed Income Securities and Credit Markets

This information is for the 2019/20 session.

Teacher responsible

Dr Peter Kondor

Availability

This course is available on the MSc in Finance (full-time), MSc in Finance (full-time) (Work Placement Pathway), MSc in Finance and Economics, MSc in Finance and Economics (Work Placement Pathway), MSc in Finance and Private Equity and MSc in Finance and Private Equity (Work Placement Pathway). This course is not available as an outside option.

Pre-requisites

Students must have completed either Asset Markets (FM423) and Corporate Finance (FM422) or Financial Economics (FM436)

Course content

  • 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.

Teaching

30 hours of lectures in the LT.

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.

Indicative reading

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).

Assessment

Exam (80%, duration: 2 hours, reading time: 15 minutes) in the summer exam period.
Coursework (20%) in the LT.

Key facts

Department: Finance

Total students 2018/19: 108

Average class size 2018/19: 46

Controlled access 2018/19: No

Value: Half Unit

Guidelines for interpreting course guide information

Personal development skills

  • Problem solving
  • Application of information skills
  • Application of numeracy skills
  • Commercial awareness
  • Specialist skills