This module is not currently running in 2021 to 2022.
In this module, valuation of fixed income or debt securities, and the risk involved in investing in these securities is presented and analysed. The course starts with simple bond and builds up to more complicated fixed income securities such as mortgage-backed and asset-backed securities often traded in the market. Throughout the module the theoretical concepts are combined with the application of the theory using extensive examples. Students will apply their knowledge of the theory using relevant software.
The syllabus includes the following: Different types of bonds and features of debt securities, Risk associated with investing in bonds, Overview of bond sectors and instruments, valuation of Bonds, Yield measures, Spot rates and Forward rates, Interest Rate Risk – The duration model – Convexity, Term structures and volatility of interest rates, Valuing bonds with embedded options
Mortgage-backed sector of the bond market, Asset-backed sector of the bond market, Valuing mortgage-backed and asset-backed securities.
36 hours of lectures.
Main textbook:
Fabozzi, F.J. (2007). Fixed Income Analysis. Second Edition. Wiley. New Jersey.
Other recommended textbooks:
Tuckman B. (2002) Fixed Income Securities: Tools for Today's Markets, Second Edition, University Edition
Thau A. (2010) The Bond Book, Third Edition: Everything Investors Need to Know About Treasuries, Municipals, GNMAs, Corporates, Zeros, Bond Funds, Money Market Funds, and More. Third Edition. McGraw-Hill.
See the library reading list for this module (Canterbury)
University of Kent makes every effort to ensure that module information is accurate for the relevant academic session and to provide educational services as described. However, courses, services and other matters may be subject to change. Please read our full disclaimer.
