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FISM-P09
(PGDM 2009-11 : Term-V)
Fixed Income Securities Management
(Course Facilitator: Dr. Sunil K. Parameswaran)
COURSE OUTLINE
Objectives
:
This course will explore the various facets of fixed income securities and the markets in which they trade. Bonds as a source of capital and their valuation using the principles of time value of money would have received a fair amount of attention in the foundation courses in Finance. However in order to ensure that all the students are at the same level of understanding, and to quickly refresh the concepts, a few initial lectures will be devoted to the principles of bond valuation using the idea of time value of money. Thereafter the focus will shift to the valuation aspects of various fixed income securities with a limited focus on the intricacies of the markets in which they trade.
Pedagogy
:
This course will rely primarily on the lecture method. Detailed reading material will be distributed wherever possible. A number of excellent reference books are available and serious students are strongly encouraged to read further.
Power Point will be the mode of presentation in class. Copies of the transparencies will be given so that students can refer to them.
The reading material and the transparencies are to a large extent self-explanatory. However some of the subtle nuances of the subject can be appreciated only by having an active and meaningful discussion in class.
Consequently regular attendance and focused study is absolutely essential.
There will be scheduled practical sessions at periodic intervals. The focus will be on applications of EXCEL for understanding the intricacies of fixed income products. A movie on the global fixed income market will also be shown.
Evaluation
:
There will be a mid-term and a final examination. The mid-term will have 40% weightage, and the final examination too will have 40% weightage. The mid-term exam will be of a multiple-choice format and will carry 40% negative marking. The final examination will be an open-book exam without negative marking.
There will be one home work carrying 20% weightage. The home work has to be attempted in groups of five. Every student is encouraged to attempt the problems individually before discussing at the group level prior to submission. Free riding is possible. However, students who depend totally on others will not derive the benefit of the learning opportunities that such home work assignments provide.
Detailed Course Schedule
:
1. Lecture-1: Time value of money
2. Lectures-2&3: An Introduction to Fixed Income Securities
3. Lecture-4: Prices and Yields: Advanced Perspectives
4. Lecture-5: Practical Session-1 using EXCEL
5. Lecture-6: Movie on the Bond Market
6. Lectures-7&8: Money and money market securities
7. Lecture-9: Term structure of interest rates
8. Lectures-10 &11: Duration, Convexity & Immunization
9. Lecture-12: Practical Session-2 using EXCEL
10. Lecture-13: Securitization
11. Lectures-14&15: Mortgage markets and mortgage backed securities
12. Lectures-16&17: Bonds with embedded options
13. Lecture-18: Practical Session-3 using EXCEL
14. Lectures-19&20: The Indian Market
Text Book:
Fixed Income Markets and their Derivatives by Suresh Sundaresan, Academic Press.
Reference Books
:
1. Money and Capital Markets by Rose, Irwin McGraw-Hill.
2. Bond Markets, Analysis, and Strategies by Fabozzi, Prentice Hall.
3. Indian Financial System by Bharati Pathak, Pearson.
4. Financial Markets and Institutions by Gurusamy, Thomson.
5. Financial Services and Markets by Gurusamy, Thomson.
Created By:
Bijoy Kar
on
08/26/2010
at
10:53 AM
Category
:
PGP-II
Doctype
:
Document
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