Fixed Income Markets and Instruments - CB6001

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Module delivery information

Location Term Level1 Credits (ECTS)2 Current Convenor3 2021 to 2022
Canterbury
Autumn 6 15 (7.5) MR I Apergis checkmark-circle

Overview

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).

Details

Contact hours

Total contact hours: 33
Private study hours: 117
Total study hours: 150

Method of assessment

Main assessment methods
Exam, 2 hours (70%)
Individual essay (2000 words) (30%)

Reassessment method:
100% Exam

Indicative reading

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)

Learning outcomes

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

Notes

  1. Credit level 6. Higher level module usually taken in Stage 3 of an undergraduate degree.
  2. ECTS credits are recognised throughout the EU and allow you to transfer credit easily from one university to another.
  3. The named convenor is the convenor for the current academic session.
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