323076 :Fixed Income Analysis

Algemeen

Voertaal Engels
Werkvorm: lectures and tutorials (Collegerooster)
Tentamenvorm: written exam (70%), assignments (30%) (Tentamenrooster)
Niveau:Master
Studielast:6 ECTS credits
Blackboard informatieLink to Blackboard (Als u de melding 'Guest are not allowed in this course' krijgt, dient u nog bij Blackboard in te loggen)

Docent(en)


prof. dr. F.C.J.M. de Jong


Doel van de cursus (alleen in het Engels beschikbaar)

This course aims at understanding bond valuation and term structure calculation; understanding and implementing risk management based on duration and convexity analysis; basic understanding of default risk and the pricing of corporate bonds and credit default swaps; construction of basic binomial models for the term structure and application to interest rate derivative pricing.

Students should be able to implement the knowledge topics in computer programmes such as Excel, and to have the analytical skills to understand relevant risks and the structure of interest rate models.


Inhoud van de cursus (alleen in het Engels beschikbaar)

The following topics will be covered:

•             bond pricing for a given term structure of interest rates;

•             hedging of interest rate risk using duration and convexity;

•             interest rate derivatives;

•             stochastic modelling of the term structure of interest rates, with applications to arbitrage-free pricing of derivatives;

•             predictability of bond returns;

•             monetary policy, inflation risk and real interest rates;

•             bond investing with liabilities and solvency risk management;

•             if time permits: Interest Rate Models in Continuous Time.


Bijzonderheden (alleen in het Engels beschikbaar)

Your grade depends on the performance in the final exam. If you fail to score 50 points or more in the final exam you will fail and your grade consists for 100% of the final exam grade. If you score 50 points or more in the final exam, your grade consists for 30% of the three assignment grades (10% each) and for 70% of the final exam grade. 

The same rule applies for the resit exam: If you score less than 50 points on the resit exam you will fail and your grade consists for 100% of the resit grade. If you score 50 points or more for the resit, your grade consists for 30% of the three assignment grades (10% each) and for 70% of the resit exam grade.

The scores of the assignments remain valid for the academic year; grades of assignments obtained in previous academic years are not valid.


Verplichte literatuur

  1. Veronsi, P. (2010), Fixed Income Securities: Valuation, Risk, and Risk Management., Wiley. ISBN 978-0-470-10910-6 (paper) or 978-0-470-58689-1 (e-book)
  2. lecture notes, additional articles, and assignments which will be available on Blackboard


Vereiste voorkennis

Investment Analysis (323060)


Verplicht voor

  • MSc Finance: track Pensions, Aging, and Retirement ( 2016, 2017 )


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(05-jan-2018)