Fixed Income Securities
The essential building block for understanding fixed income securities is interest rates. Interest rates are paid to the bond holders in the form of coupons, and interest rates are central to the present value concept used for pricing, valuation, and risk measurement. Financial institutions also issue a range of derivatives with different types of interest rates as underlying assets.
Students of this course learn how to use such derivatives, including forward rate agreements, interest rate futures, options, and swaps, to manage the interest rate risk of a portfolio. They also learn how interest rates reflect monetary policy. As fixed income securities involve extensive material of quantitative nature, the course includes computer-based exercises as a complement to the concepts covered in lectures.
Teaching Format
The course consists of a combination of lectures and computer-based exercises and requires a significant portion of self-study on the part of students.
The course workload is 200 hours equivalent to 7,5 ECTS (40 hours per week equivalent to 1,5 ECTS).
The language of instruction and assessment is English.
Assessment
Assessment for the course is continuous and carried out throughout the different activities of the course. Each assessment task is weighted in relation to its importance in the overall assessment of the course.
Assessment tasks
The course contains the following weighted assessment tasks
1. Individual final examination.
2. Quant-quiz I.
3. Quant-quiz II.
After completion of the course, students receive grades on a scale related to the intended learning outcomes of the course. Passing grades are A, B, C, D and E. Failing grade is F.
See reading list in the current syllabus.
Course coordinator: coursecoordinator@sbs.su.se
Head of course: Jens Josephson
