Fixed income

EM364U02

Program
PGE
PGE 2A - FINANCE - COMPTABILITE
UE
Track Finance
Semester
A
Discipline
Finance
Contact hours
27 H
Number of spots
45
ECTS
5
Open to visitors
Yes
Language
Coordinator
Ali Özdakak


Pedagogical contribution of the course to the program

Développer un management à impact grâce aux connaissances et aux outils les plus récents dans les domaines du management

Developing a strategic and managerial vision in a complex, uncertain and changing environment
Evaluate sustainable managerial practices using managerial concepts and instruments as well as digital tools
Design solutions adapted to organizational problems by applying relevant methodologies

Pratiquer un management à impact dans un environnement multiculturel et international, porté par un "European mindset"

Communicate in a professional context in (foreign) languages, in writing and/or orally

Description

Debt securities are often called fixed-income securities because they promise either a fixed stream of income or one that is determined according to a specified formula. Fixed-income securities come in a tremendous variety of maturities and payment provisions. The fixed-income capital market includes long-term securities such as Treasury bonds, as well as bonds issued by federal agencies, state and local municipalities, and corporations. In this course students will learn the universe of bond markets, including Treasury, corporate, and international bonds. We turn to bond pricing, showing how bond prices are set in accordance with market interest rates and why bond prices change with those rates. Given this background, we compare the different measures of bond returns such as yield to maturity and holding-period return. Furthermore, we examine the so-called term structure of interest rates. In the context of passive and active fixed income strategies we analyze the sensitivity of bond prices to interest rate fluctuations by applying concepts such as bond duration and convexity.

Teaching methods

Face-to-face

- Lectures
- Tutorials

In group

No items in this list have been checked.

Interaction

- Discussions/debates

Others

No items in this list have been checked.

Learning objectives

Cognitive domain

Upon completion of this course, students should be able to
  • - (level 4) analyze bond prices and yields
  • - (level 4) examine theories of term structure of interest rates
  • - (level 5) assess the term structure of interest rates
  • - (level 5) evaluate the default risk of corporate bonds
  • - (level 5) determine future interest rates
  • - (level 6) develop approaches to deal with interest rate uncertainty

Affective domain

Upon completion of this course, students should be able to
None affective domain have been associated with this course yet

Outline

Topic 1: Bond prices and Yields - Bond characteristics - Bond pricing - Bond yields - Default risk and bond pricing Topic 2: Term structure of interest rates - The yield curve - Future interest rates - Interest rate uncertainty - Theories of term structure - Forward rates Topic 3: Managing bond portfolios - Interest rate risk - Convexity - Passive and active bond management

No prerequisite has been provided

Knowledge in / Key concepts to master

No special knowledge required Basic understanding of the discounted cashflow method desired Solid math skills required

Teaching material

Mandatory tools for the course


- Calculator

Documents in all formats


- Syllabus

Moodle platform

- Upload of class documents

Software

- Pack Office (Word, Excel, PowerPoint, Access)

Additional electronic platforms

No items in this list have been checked.

Recommended reading


None


will be provided in class

EM Research: Be sure to mobilize at least one resource

Textbooks, case studies, translated material, etc. can be entered
No reading material has been provided.

Assessment

List of assessment methods

Intermediate assessment / continuous assessment 1Other (date, pop quiz, etc.) : tba
Written (90 Min.) / Individual / English / Weight : 25 %
Details : 1st written midterm after completion of Topic 1
This evaluation is used to measure ILO1.1-PGE, ILO1.2-PGE, ILO2.1-PGE, ILO2.2-PGE, ILO2.4-PGE
Intermediate assessment / continuous assessment 2Other (date, pop quiz, etc.) : tba
Written (90 Min.) / Individual / English / Weight : 25 %
Details : 2nd written midterm after completion of Topic 2
This evaluation is used to measure ILO1.3-PGE, ILO3.2-PGE, ILO4.1-PGE, ILO4.2-PGE
Final evaluationExam week
Written (90 Min.) / Individual / English / Weight : 50 %
Details : Final exam after completion of Topic 3
This evaluation is used to measure ILO1.1-PGE, ILO1.2-PGE, ILO2.1-PGE, ILO2.4-PGE, ILO3.2-PGE, ILO4.1-PGE
No assessment methods have been attributed to this course yet.