Fixed Income Portfolio Management

Transcription

1 MODULE SPECIFICATION UNDERGRADUATE PROGRAMMES KEY FACTS Module name Fixed Income Portfolio Management Module code FR3100 School Cass Business School Department or equivalent UG Programme UK credits 15 ECTS 7.5 Level 6 Delivery location (partnership programmes only) MODULE SUMMARY Module outline and aims Fixed income securities represent an essential component of modern financial practice, offering significant risk management and speculative opportunities. Starting from an assumption of minimal existing knowledge, the Fixed Income Portfolio Management provides in a unified way the theoretical and practical issues in bond portfolio management. The aim of this module is to develop an understanding of fixed income securities and their use in portfolio management so that the asset manager, the treasurer, the investment banker, the financial analyst and the trader will have the conceptual foundations for making intelligent assessments of application of the fixed income instruments. Content outline - Bond yields, the term structure of interest rates and yield curve analysis. - Return analysis and performance measurement. - Price volatility for option free bonds. - Duration, Convexity and the yield curve. - Valuation of bonds with embedded options. - Yield spread trades. - Hedging in the Treasury Bond market. - Butterfly trades - bond swaps. - Corporate bonds.

2 WHAT WILL I BE EXPECTED TO ACHIEVE? On successful completion of this module, you will be expected to be able to: Knowledge and understanding: - Have a comprehensive understanding of the yield curve theory, which imposes distinctive challenges in today s fast changing fixed income market - Understand risk and return profile of fixed income securities and their role in risk management - Understand the application of mathematical techniques in pricing and risk management with fixed income securities - Understand the nature of different fixed income securities and trading strategies - Understand recent developments in the theory and practice of bond portfolio management Skills: - Develop and execute complex long-short bond portfolio trading strategies - Develop analytical skills to evaluate complex valuation of bonds with embedded options - Estimate and manage the risk of a bond portfolio - Initiate an ability to hedge bond portfolios using fixed income securities - Contribute to the bond portfolio construction and risk/return analysis Values and attitudes: - Have an awareness of the wider management issues involved in real-world applications - Appreciate the importance of prudent financial risk management of fixed income positions HOW WILL I LEARN? The course will consist of 10 lectures of two contact time each. Teaching methods will consist of taught lectures, analysis of vast empirical evidence and contemporary issues in the area of fixed income management, with ample numerical examples to illustrate concepts taught and empirical simulation exercises.

3 Teaching pattern: Teaching component Teaching type Contact Selfdirected study Placement Lectures Lecture Totals WHAT TYPES OF ASSESSMENT AND FEEDBACK CAN I EXPECT? Assessments Group coursework and exam. Assessment pattern: Total student learning Assessment component Coursework Examination 2.25 Assessment criteria Assessment type Written assignment, including essay Written Exam Weighting Minimum qualifying mark Pass/Fail? 30 0 N/A 70 0 N/A Assessment Criteria are descriptions of the skills, knowledge or attributes students need to demonstrate in order to complete an assessment successfully and Grade-Related Criteria are descriptions of the skills, knowledge or attributes students need to demonstrate to achieve a certain grade or mark in an assessment. Assessment Criteria and Grade-Related Criteria for module assessments will be made available to students prior to an assessment taking place. More information will be available from the module leader. Feedback on assessment Following an assessment, students will be given their marks and feedback in line with the Assessment Regulations and Policy. Coursework feedback will be written in detail on every page of your submitted work and it will include the comments on both what you did right and what you could have improved upon or did wrong. Individual feedback will be returned within 3 weeks. Exam feedback will be provided in a more general way, where some of the common mistakes and omissions among students will be highlighted. Also, I will highlight the points that

4 helped students get the highest marks. Exam feedback will be uploaded on Moodle. Assessment Regulations The Pass mark for the module is 40%. Any minimum qualifying marks for specific assessments are listed in the table above. The weighting of the different components can also be found above. The Programme Specification contains information on what happens if you fail an assessment component or the module. INDICATIVE READING LIST The basic study material for this course will be the booklet with course handouts distributed at the beginning of the course. In addition, review questions set will be given to students. You are advised to thoroughly study these lecture notes and solve the review questions set. The following list of books might be helpful for general further reading and is only suggestive. N.B. Books marked with * are the most relevant for the course: *Fabozzi F.J Fixed income mathematics Irwin *Fabozzi F.J - Bond markets analysis and strategies-prentice Hall *Garbade Fixed Income Analytics MIT press Fabozzi F.J Measuring and controlling interest rate risk Fabozzi F.J - Bond portfolio management - FJF Associates Fabozzi F.J - Valuation of fixed income securities and derivatives - FJF Associates Version: 2.0 Version date: July 2013 For use from:

5 Appendix: see for the full list of JACS codes and descriptions CODES HESA Code Description Price Group 27 Business and Management D Studies JACS Code Description Percentage (%) N300 The study of financial systems, regulations and reporting. 100