Fixed Income Securities, Debt Markets and the Macro Economy
Dates: 29 July - 16 August, 2013
This course is intended to give an understanding of the instruments, the major institutions, organisations and investors, and the recent developments in the fixed income field. We will cover traditional debt instruments (namely Government and corporate bonds) and fixed income derivatives, develop the theory for valuing them and study the determinants of risk and return of fixed-income securities. Throughout the course, we will relate to the credit crisis of 2007-2009 and discuss what has happened over the past few years and the implications for the future of debt markets. We will also discuss fixed-income portfolio management and the role of fixed-income securities in risk management. Furthermore, we will take a closer look at the interdependencies and the roles of the different players in the debt markets. In particular, we will examine the role of and the instruments available to the central bank in setting interest rates. The major focus of the course will be on economic intuition and on understanding the products and interrelationships in the fixed income markets.
The topics covered in this course include:
■An overview of debt markets with a particular focus on the US and the UK: players, institutions and various instruments.
■Organisation and structure of debt markets. Terminology, market conventions. Specific markets: US Treasury, corporate, agency markets, inter-bank market, etc.
■Debt instruments: Government and corporate bonds (including convertibles), Inflation-linked bonds.
Monetary policy and the role of the central bank in setting interest rates. Interest rates and inflation. Relationship between interest rates and future economic activity.
■Risk & rewards: Yields, volatility, duration, convexity, risk measurement and management. Interest rate risk, liquidity risk, inflation risk, credit risk.
■Yield curve analysis: yield curve estimation and introduction to term structure modeling. Par yields, zero coupon yields, strip curves.
■Fixed-income derivatives: Treasury futures, Eurodollar futures, options, swaps, mortgage backed securities.
■The 2007-2009 credit crisis.
Suresh M. Sundaresan, Fixed-Income Markets and Their Derivatives, by South-Western Publishing Company, Third Edition, 2009
Frank Fabozzi, Bond Markets, Analysis and Strategies, 7th edition, Prentice Hall, 2010
Pietro Veronesi (optional), Fixed Income Securities: Valuation, Risk, and Risk Management, Wiley and Sons, 2010.
Lectures: 36 hours Classes: 12 hours
Assessment: Two written examinations
Contenido del curso: 12 horas de clase semanales por las mañanas y conferencias y seminarios por las tardes en función del curso elegido.
Precio total: 3.980 €