FM405 Half Unit
Fixed Income Securities and Credit Markets
This information is for the 2025/26 session.
Course Convenor
Prof 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 to students on other programmes. This course uses controlled access as part of the course selection process.
All students on a programme listed under the Course Availability will be given a place. The course is not capped.
Please contact finance.teachingmanager@lse.ac.uk with any queries.
This course is not capped, any eligible student that requests a place will be given one.
This course does not permit auditing students.
Requisites
Co-requisites:
Either before taking this course, or in the same year as this course, students must complete:
(FM422 and FM423)
or
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 Winter Term.
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
Continuous assessment (100%)
Key facts
Department: Finance
Course Study Period: Winter Term
Unit value: Half unit
FHEQ Level: Level 7
CEFR Level: Null
Total students 2024/25: 93
Average class size 2024/25: 93
Controlled access 2024/25: YesCourse selection videos
Some departments have produced short videos to introduce their courses. Please refer to the course selection videos index page for further information.
Personal development skills
- Problem solving
- Application of information skills
- Application of numeracy skills
- Commercial awareness
- Specialist skills