##

## Overview

Fixed-Income
Analysis is meant to provide
an
introduction to the analysis of fixed income assets and liabilities and
their most common derivatives. The course proceeds from a contemporary
investment-banking perspective and develops the necessary analytic
tools for three distinct but related business applications:
trading&sales, fixed-income risk measurement and management,
and
fixed income portfolio management. Topics include: yield curve
calculus, binomial yield curve modelling, risk management, and asset
management. Due to time limitations and the richness of the field the
following topics are not covered: international fixed income analysis,
multifactor and continuous time models of the term structure, economic
theories of the term structure, derivatives trading, advanced pricing
models.
## Objectives

The course develops the fondations for
the analysis,
trading, and use of fixed-income instruments, both cash and derivative
securities. It revolves around the modeling of interest-rate and
default risk, the pricing of various fixed-income products, and
one-factor models of the yield curve. Students can be expected to
become familiar with

- yield curve calculus
including duration and convexity;
- various segments of global
fixed-income markets;
- the Bloomberg system for
analyzing and trading fixed-income
securities and their derivatives;
- one-factor models of the
yield curve;
- advanced fixed income
derivatives such as default swaps;
- securitization.