This module will cover the following topics:
- Features of debt instruments and risks associated with investing in these instruments
- Debt and money markets (participants, operations, trading activities)
- Fixed-income instruments (Government bonds, corporate bonds, credit ratings, high-yield bonds, international bonds, mortgage-backed securities, etc.)
- Money market instruments (Treasury bills, commercial paper, repurchase agreements, bills of exchange, etc.)
- Fixed-income valuation (traditional approach, arbitrage-free approach, yield measures, volatility measures)
- Term-structure of interest rates and classic theories of term structure, derivation of zero-coupon yield curve
- General principles of credit analysis (credit scoring, credit risk modelling, etc.)
- Fixed-income portfolio construction and management strategies (portfolio's risk profile, managing funds against a bond market index).
Total contact hours: 33
Private study hours: 117
Total study hours: 150
Main assessment methods
Exam, 2 hours (70%)
Individual essay (1500 words) (30%)
Reassessment method:
100% Exam
Arnold, G. (2015). FT Guide to Bond and Money Markets, London: FT Publishing International.
Fabozzi, F. (2013) Bond Markets, Analysis and Strategies, 8th Edition. London: Prentice Hall
Fabozzi, F. (2007). Fixed Income Analysis, 2007, 2nd Edition. London: CFA Institute
Martellini, L. et al. (2003). Fixed-income Securities: Valuation, Risk Management and Portfolio Strategies, Chichester: Wiley and Sons.
See the library reading list for this module (Canterbury)
The intended subject specific learning outcomes.
On successfully completing the module students will be able to:
- Demonstrate a systematic understanding of the operations in money and bond markets and appraise the more recent developments in these markets.
- Critically assess the similarities and differences among key debt instruments and examine the risks associated with each category of bond investments
- Critically review the underlying theories of interest rate term structure
- Apply the appropriate methods and techniques to value bond instruments.
- Structure and manage a diversified fixed -income portfolio.
The intended generic learning outcomes.
On successfully completing the module students will be able to:
- Critically evaluate arguments and evidence
- Analyse conceptual problems and solve problems relating to quantitative information
- Make competent use of information technology skills
- Exercise independent, self-managed study of research materials
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