FM405E      Half Unit
Fixed Income Securities and Credit Markets

This information is for the 2017/18 session.

Teacher responsible

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 Asset Markets (FM423) and Corporate Finance (FM422).

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.


30 hours of lectures in the MT.

Indicative reading

The primary source for this course is a comprehensive set of Lecture Notes, tutorials and case studies. The following references can also be used to complement the reading material provided in the course pack: (i) Brigo, Damiano and Fabio Mercurio (2006). Interest Rate Models—Theory and Practice, with Smile, Inflation and Credit. Springer Verlag;  (ii) Duffie, Darrell and Kenneth Singleton (2003). Credit risk. Pricing, management and measurement. Princeton University Press; (iii) Veronesi, Pietro (2010). Fixed Income Securities. John Wiley & Sons.


Exam (80%, duration: 2 hours) in the main exam period.
Coursework (20%) in the LT.

Key facts

Department: Finance

Total students 2016/17: 26

Average class size 2016/17: 23

Controlled access 2016/17: Yes

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