Postgraduate Course: Fixed Income (CMSE11212)
Course Outline
| School | Business School |
College | College of Humanities and Social Science |
| Credit level (Normal year taken) | SCQF Level 11 (Postgraduate) |
Availability | Not available to visiting students |
| SCQF Credits | 15 |
ECTS Credits | 7.5 |
| Summary | This elective course is designed to provide an overview of fixed income (debt) markets and the institutional structures that surround fixed income trading. As well as gaining familiarity with the features of commonly traded fixed income instruments, students will learn how these instruments are priced and gain an understanding of commonly used fixed income risk metrics. |
| Course description |
Students will spend time analysing the yield curve and examining the theory of the term structure of interest rates. Students will also study the mechanics of debt securitisation within the context of the recent financial crisis.
Deep understanding of these topics should equip students with a solid base of analytical and critical reasoning skills to help enable pursuit of a wide array of careers including fixed income asset management, corporate finance and treasury management.
Syllabus
Introduction to Fixed Income
Bond Pricing Essentials
Duration and Convexity Analysis
The Yield Curve
Theories of the Term Structure of Interest Rates
Credit Risk Analysis and Bond Pricing
Bonds with Embedded Options
Securitisation and the Financial Crisis
Fixed Income Portfolio Management
Gain an introduction to lattice interest-rate models
Student Learning Experience
Students will gain an introduction to lattice interest-rate models.
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Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
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Co-requisites | |
| Prohibited Combinations | |
Other requirements | For Business School PG students only, or by special permission of the School. Please contact the course secretary. |
| Additional Costs | None |
Course Delivery Information
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| Academic year 2015/16, Not available to visiting students (SS1)
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Quota: None |
| Course Start |
Semester 2 |
Timetable |
Timetable |
| Learning and Teaching activities (Further Info) |
Total Hours:
150
(
Lecture Hours 20,
Seminar/Tutorial Hours 10,
Programme Level Learning and Teaching Hours 3,
Directed Learning and Independent Learning Hours
117 )
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| Assessment (Further Info) |
Written Exam
70 %,
Coursework
30 %,
Practical Exam
0 %
|
| Additional Information (Assessment) |
Group Assignment 20%
Group Presentation 10%
Degree Examination 70% |
| Feedback |
All students will be given at least one formative feedback or feedforward event for every course they undertake, provided during the semester in which the course is taken and in time to be useful in the completion of summative work on the course. Such feedback may be at course or programme level, but must include input of relevance to each course in the latter case.
Students will get feedback through discussion of literature and lecture themes in tutorials and written feedback on group reports and presentations.
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| Exam Information |
| Exam Diet |
Paper Name |
Hours & Minutes |
|
| Main Exam Diet S2 (April/May) | Fixed Income | 2:00 | |
Learning Outcomes
On completion of this course, the student will be able to:
- Understand and critically discuss the pricing and primary risk exposures of major classes of fixed-income securities
- Understand the market and institutional structures which influence fixed income trading, what drives changes in yield curves and the term structure of interest rates.
- Understand and critically discuss the importance of embedded options such as call provisions, put provisions and convertibility for bond pricing.
- Understand and critically discuss fixed income indexing and performance measurement.
- Critically analyse the securitisation of fixed income instruments in the context of the recent financial crisis
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Reading List
Required:
Fabozzi., F.J., (2013), Bond Markets: Analysis and Strategies, Eighth Edition, Pearson.
Additional:
Choudhry, M., (2010), An Introduction to Bond Markets, Fourth Edition, Wiley. |
Additional Information
| Graduate Attributes and Skills |
Intellectual Skills and Subject Specific Skills:
On completion of the course, students should:
* Have developed a critical understanding of the main principles of fixed income pricing, risk and portfolio management
* Be familiarised with the latest developments and issues in Fixed Income markets
Cognitive Skills and Personal Development:
On completion of the course, students should:
* Have developed their ability to understand complex lines of argument and reasoning in fixed income
* Be able to develop the links between fixed income theory and professional practice
* Have improved their written skills
* Have improved their analytical reasoning
* Have developed skills in collaboration and teamwork
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| Keywords | finFixedIncome |
Contacts
| Course organiser | Dr Ronan Gallagher
Tel: (0131 6)50 8075
Email: Ronan.Gallagher@ed.ac.uk |
Course secretary | Miss Rachel Allan
Tel: (0131 6)51 3757
Email: Rachel.Allan@ed.ac.uk |
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