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Fixed Income Securities

  • 7.5 credits

The overall aim of this course is to equip students with the tools required to understand the construction, the pricing and the risks of fixed income securities.

This course equips students with the tools required to understand the construction, the pricing and the risks of bonds and fixed income derivatives. 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.

 

 

  • Course structure

    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.

  • Schedule

    The schedule will be available no later than one month before the start of the course. We do not recommend print-outs as changes can occur. At the start of the course, your department will advise where you can find your schedule during the course.
  • Course literature

    Note that the course literature can be changed up to two months before the start of the course.

    See reading list in the current syllabus.

  • Contact

    Course coordinator: coursecoordinator@sbs.su.se
    Head of course: Jens Josephson