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FISM-P08
(PGDM 2008-10 : Term-V)
Fixed Income Securities Market
(Instructor: Dr. Golaka C. Nath)
COURSE OUTLINE
COURSE OVERVIEW
This course provides an advanced treatment of investments in the field of fixed income analysis. The course focuses on fixed income securities, fixed income portfolio management and fixed income derivatives. Topics include bond analysis, term structure of interest rates, interest rate sensitivity of fixed income securities, managing interest rate risk, and interest rate swaps, futures, etc. Spreadsheet modeling in the above areas will be introduced. In addition to lectures, the course will also consist of students’ presentations.
Course Objective:
The objective of this course is to further enhance the student’s understanding and awareness of the fixed income securities market. This course is intended to be a blend of both the theoretical and practical aspects of fixed income markets. Various concepts and strategies of the fixed income securities market will be illustrated with the use of Ms-Excel and SAS.
Prerequisites: All students must have familiarity with Macroeconomics and Indian economy.
Text: Fixed Income Securities: Tools for Today’s Markets
, by Bruce Tuckman (Wiley, 2
nd
Edition,
2002). Also, we will sometimes refer to
Fundamentals of Options and Futures Markets
, by John Hull (Prentice Hall, 2002), and I will distribute some other materials to the class.
Composition:
Homework Assignments and
Case Studies 25%
Quiz 25%
Excel based Test
15%
Final Exam 35%
No late homework will be accepted. If you miss an exam/quiz due to an unavoidable reason, no request should be made for an add-on test. THE FINAL
EXAM IS COMPULSORY AND COMPREHENSIVE.
Retention of Student Exams, Papers, etc:
Students’ materials will be retained for a minimum of four weeks into the subsequent semester.
Course Outline
1. Introduction to Fixed Income Securities Market
a. Policy Developments
b. Products
c. Platforms and Systems
d. Information availability
e. Processing Market Information
f. Monetary Policy and Its effect on Bond Market
2. The Primary Market
a. Issuance Needs and Policy
b. Auctions
c. When Issued Market
d. Empirical Analysis
3. Time Value of Money
a. Compounding Rules
b. Market Conventions
c. International Market Quotations
4. Yield Curves
a. YTM Curve
b. Zero Coupon Yield Curve
c. Interpolation
d. Bootstrapping
e. Benchmark Yield Curve
5. Fixed Income Valuation
a. Valuation of Bond
b. Liquidity Premium
c. Estimating Credit Risk premium on a Bond
d. Index creation
e. Trading strategies
6. Fixed Income Market Risk Analysis
a. Duration
b. Convexity
c. Option embedded Bonds
7. Bond Futures
a. Contract Specification
b. Conversion Factors
c. Cheapest to Deliver Concept
d. Hedging with Bond Futures
e. Indian Fixed income Futures Market
8. Fixed Income Repo Market
a. Classic Repo
b. Buy and Sell back repo
c. Securities Lending
9. Swaps
a. Interest Rate Swaps
b. Forward Rate Agreements
10. Asset Backed Securities
a. Securitisation
11. Fixed Income Risk
a. VaR Concept
b. Variance Covariance method
c. Historical Simulation
d. Extreme Value Theory
Created By:
Bijoy Kar
on
07/28/2009
at
01:33 PM
Category
:
PGP-II
Doctype
:
Document
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