Postgraduate Course: Fixed Income (CMSE11212)
Course Outline
| School | Business School |
College | College of Arts, Humanities and Social Sciences |
| Credit level (Normal year taken) | SCQF Level 11 (Postgraduate) |
Availability | Not available to visiting students |
| SCQF Credits | 15 |
ECTS Credits | 7.5 |
| Summary | This elective course is designed to provide an overview of fixed income (debt) markets and the institutional structures that surround fixed income trading. As well as gaining familiarity with the features of commonly traded fixed income instruments, students will learn how these instruments are priced and gain an understanding of commonly used fixed income risk metrics. |
| Course description |
Students will spend time analysing the yield curve and examining the theory of the term structure of interest rates. Students will also study the mechanics of debt securitisation within the context of the recent financial crisis.
Deep understanding of these topics should equip students with a solid base of analytical and critical reasoning skills to help enable pursuit of a wide array of careers including fixed income asset management, corporate finance and treasury management.
Syllabus
Introduction to Fixed Income
Bond Pricing Essentials
Duration and Convexity Analysis
The Yield Curve
Theories of the Term Structure of Interest Rates
Credit Risk Analysis and Bond Pricing
Bonds with Embedded Options
Securitisation and the Financial Crisis
Fixed Income Portfolio Management
Gain an introduction to lattice interest-rate models
Student Learning Experience
Students will gain an introduction to lattice interest-rate models.
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Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
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Co-requisites | |
| Prohibited Combinations | |
Other requirements | For Business School PG students only, or by special permission of the School. Please contact the course secretary. |
| Additional Costs | None |
Course Delivery Information
| Not being delivered |
Learning Outcomes
On completion of this course, the student will be able to:
- Understand and critically discuss the pricing and primary risk exposures of major classes of fixed-income securities.
- Understand the market and institutional structures which influence fixed income trading, what drives changes in yield curves and the term structure of interest rates.
- Understand and critically discuss the importance of embedded options such as call provisions, put provisions and convertibility for bond pricing.
- Understand and critically discuss fixed income indexing and performance measurement.
- Critically analyse the securitisation of fixed income instruments in the context of the recent financial crisis
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Reading List
Required:
Fabozzi., F.J., (2016), Bond Markets: Analysis and Strategies, Ninth Edition, Pearson.
Additional:
Choudhry, M., (2010), An Introduction to Bond Markets, Fourth Edition, Wiley. |
Additional Information
| Graduate Attributes and Skills |
Intellectual Skills and Subject Specific Skills:
On completion of the course, students should:
* Have developed a critical understanding of the main principles of fixed income pricing, risk and portfolio management
* Be familiarised with the latest developments and issues in Fixed Income markets
Cognitive Skills and Personal Development:
On completion of the course, students should:
* Have developed their ability to understand complex lines of argument and reasoning in fixed income
* Be able to develop the links between fixed income theory and professional practice
* Have improved their written skills
* Have improved their analytical reasoning
* Have developed skills in collaboration and teamwork
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| Keywords | finFixedIncome |
Contacts
| Course organiser | Dr Ronan Gallagher
Tel: (0131 6)50 8075
Email: |
Course secretary | Miss Carrie Innes
Tel: (0131 6)51 3757
Email: |
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