Close
FISM-P07
PGDM 2007-09 : TERM - V
Fixed Income Securities Management
Course Outline
Faculty : NAVEEN BHATIA
SUBJECT TITLE:
Analysis of Fixed Income Securities
1) Course Objectives:
The objective of the course is to understand the bond mathematics, sensitivity of bond prices to interest rates (Duration and Convexity), Asset securitization and Mortgaged back securities mathematics. The students will also be acquainted with the Risk Management products based on Interest rates, namely interest rate futures, options, swaps, FRAs etc.
2) Learning Outcomes:
The students will be fully acquainted with the analysis of Fixed Income Securities enabling them to understand the Bonds trading strategies, Manage Risk of a Fixed Income portfolio by effectively utilizing various fixed income derivatives like futures, FRA’s, Swaps etc.
Prerequisites :
·
Financial Markets and Institutions
·
Macro Economics
3) Career Opportunities:
1) Mutual Funds – Fixed Income Portfolio Management
2) Treasury Operations – Banks and Corporates.
3) Corporate Finance – Risk Management
4) Credit Rating Agencies
5) Wealth Management / Portfolio Management related Financial Service Companies.
4) Pedagogy:
The basic concepts would be taught through a series of lecture sessions. In each lecture session after learning the concept through an interactive process, the mathematics part of Fixed Income Securities would be taught through exercise on the ‘Excel’. In addition, the students will be given assignments to understand how these concepts are applied in ‘Practical’ situations.
5. COURSE OUTLINE:
TOPIC NO. OF LECTURES
1. Understanding Basics Of Bonds Mathematics:
: 3
i) Yield to Maturity/Yield to Call
ii) Spot Rates/Forward Rates and Par Yield
iii) Bootstrapping Process for Zero Curve
iv.) Yield Curve slope and the theory
2. Understanding Duration and Convexity
3
i) Measuring Duration and Convexity
ii) Duration of Par /Discount /Premium Bonds
iii) Duration as a Risk Measure
iv) M Square & Key Rate Duration
v)Barbelle, Ladder & Bullet Strategy
3. Bond Management Strategies
i) Active and Passive Management Strategies 2
ii) Classical and Contingent Immunisation
iii) Duration Based Asset Liability Risk Management
4. Mortgage Backed Securities
2
i) Mortgage Mathematics
ii) MBS & Asset Securitisation
iii) Securitisation Structures
5. Interest Rate Futures 2
i) T-bill & T-bond Futures
ii) Duration Based hedging using Futures
6. Interest Rate Options
2
i) Forward Rate Agreement
ii) Caps/Floor/Collar
iii) Black’s model of Interest Option Valuation
iv) Caplet –Floorlet-Swaplet Parity
7.
Interest Rate Swaps 3.
i) Basics Of Swaps
ii) Valuation of Swaps ( Fixed Side)
iii) Forward/Amortising/Asset Swaps
iv) Valuing a Swap during its Life
8.
Credit Risk & Derivatives: -- 3 sessions
i) Credit Risk Scoring Models : Altaman, KVM…
ii) Credit Default Swaps : Valuation
iii) Credit Linked Notes and Total Return Swaps
Notes: Each Lecture is for 1 Hr. 30 Minutes
The entire course will be Taught in EXCEL. Students are required to do the
Modelling assignments on the EXCEL.
6. Course Evaluation
: Class Participation : 10 marks
Assignments : 30 marks
Final Examination : 60 marks
7. Books & References:
1. The Hand Book of Fixed Income Securities- Fabozzi Frank McGraw Hill
International.
2. Fixed Income Markets & Their Derivatives: Suresh Sunderasan –Thomson
Learning.
3. Swaps : Richard Flavell – John Wiley Publications.
Created By:
Lingaraj Pattanaik
on
09/02/2008
at
09:48 AM
Category
:
PGDM-II
Doctype
:
Document
...........................