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

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