FM405 Half Unit
Fixed Income Securities and Credit Markets
This information is for the 2020/21 session.
Teacher responsible
Dr 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.
Pre-requisites
Students must have completed either Asset Markets (FM423) and Corporate Finance (FM422) or Financial Economics (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 LT.
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%) in the LT.
Important information in response to COVID-19
Please note that during 2020/21 academic year some variation to teaching and learning activities may be required to respond to changes in public health advice and/or to account for the situation of students in attendance on campus and those studying online during the early part of the academic year. For assessment, this may involve changes to mode of delivery and/or the format or weighting of assessments. Changes will only be made if required and students will be notified about any changes to teaching or assessment plans at the earliest opportunity.
Key facts
Department: Finance
Total students 2019/20: 121
Average class size 2019/20: 60
Controlled access 2019/20: Yes
Value: Half Unit
Personal development skills
- Problem solving
- Application of information skills
- Application of numeracy skills
- Commercial awareness
- Specialist skills
