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FISM-P13
PGDM 2013-15: Term-IV
Fixed Income Securities Market (1.5 credit)
Tentative Course Outline
Faculty To Be Decided
1. Session 1 and 2:
a. Introduction to Fixed Income Securities Market
i. Policy Developments
ii. Products
iii. Platforms and Systems
iv. Information availability
v. Processing Market Information
vi. Monetary Policy and Its effect on Bond Market
vii. Global Bond Markets
2. Session – 3 and 4:
a. The Primary Market (Students in groups would participate in mock Auction process which will replicate the actual Auction of a Dated Security which will fall during the Course teaching time)
i. Issuance Needs and Policy
ii. Auctions
iii. When Issued Market
iv. Empirical Analysis
3. Session 5:
a. Time Value of Money
i. Compounding Rules
ii. Market Conventions
iii. International Market Quotations
4. Session 6:
a. Fixed Income Valuation
i. Valuation of Bonds
ii. Liquidity Premium
iii. Estimating Credit Risk premium on a non-Government Bond
5. Session 7, 8and 9:
a. Term Structure of Interest Rate
i. Interpreting Yield Curve
ii. Basics of Term Structure Modeling
iii. YTM Curve
iv. Zero Coupon Yield Curve through Models
v. Bootstrapping to derive the Spot Curve
vi. Benchmark Yield Curve
vii. Binomial Lattice
6. Session10 and 11:
a. Fixed Income Market Risk Analysis
i. Duration
ii. Convexity
iii. Treasury Trading and Hedging Strategies
iv. Option embedded Bonds
7. Session 12 and 13:
a. Fixed Income Repo Market
i. Why Repo is used as a Financing Option
ii. Classic Repo
iii. Buy and Sell back repo
iv. Securities Lending
v. CBLO
8. Session 14 and 15:
a. Fixed Income Derivatives
i. Contract Specification
ii. Conversion Factors
iii. Cheapest to Deliver Concept
iv. Hedging with Bond Futures
v. Indian Fixed Income Futures Market
b. Swaps and Option Basics
i. Interest Rate Swaps
ii. Forward Rate Agreements
iii. bond options,
iv. caps, collars, floors,
v. swaptions
9. Session 16 and 17:
a. VaR Basics and its use in Fixed Income Securities Market
i. VaR Concept
ii. Variance Covariance Method
iii. Historical Simulation
iv. Extreme Value Theory
10. Session 18 and 19 :
a. Benchmark Rates and Indices
i. MIBOR/CCBOR/LIBOR
ii. Bond Index
1. Construction
2. Rebalancing
3. Maintenance
11. Session 20
a. Asset Backed Securities
b. Mortgage backed securities
c. Securitisation Process
Evaluation Method
Components and Weightage:
1. Quiz (average of 3 quizzes) – 30%
2. Assignments
a. Auction Assignment -- 8%
b. Topic Assignments -- 12%
3. End Term Part -1: Excel based Test -- 15 %
4. End Term Part - II -- 35%
Quizzes will be conducted in 2nd, 3rd and 4th visits to the Institute
Book (Text):
MooradChoudhury : Bond and Money Markets (Indian cheaper edition)
Assignments:
1. Studying the behaviour of Indian Sovereign Yield Curve using Principal Component Analysis (At least 5 years of data to be used)
2. Estimating Implied Yield using principle of covered interest rate parity through use of Spot and Forward USD-INR Exchange rate (At least 7 years of data to be used).
3. Study of Inter-market relationship using Equity (Sensex), Currency (USD-INR), Commodities (Agri and non-Agri) and Bond Market data (91-D T-Bills / 10 Year Yield)
4. Understanding the dynamism of Swap-spread (OIS-GSEC) and its linkage to real economy (IIP/inflation/REER)
5. Consolidation of Issuance of Government Debt – Passive and Active Consolidation
Created By:
Alora Kar
on
03/06/2014
at
11:47 AM
Category
:
BM-II
Doctype
:
Document
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