Registry
Module Specifications
Current Academic Year 2012 - 2013
Please note that this information is subject to change.
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| Description | |||||||||||||||||||||||||||||||||||||||||
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The objective of this module is for participants to develop a deeper understanding of the characteristics of fixed income securities and instruments and the markets that they are traded on internationally, as well as developing participant's understanding of the of the practice of interest rate risk management.The module will explore these objectives within a framework of quantitative analysis and theoretical structures as well as critically examining contemporary and legacy debt-market structures in an international context. The module is delivered in a combination of weekly lectures and directed independent learning activities including problem sets, on-line research and expert articles. Student are expected to engage with these activities and to participate in class. | |||||||||||||||||||||||||||||||||||||||||
| Learning Outcomes | |||||||||||||||||||||||||||||||||||||||||
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1. Value a range of fixed income securities including government and agency securities, corporate debt instruments, bonds with embedded options and asset backed securities; and value a range of derivative products for managing interest rate risk including interest rate options, swaps, caps, floors and swaptions. 2. Critique theoretical models of interest rates, to include basic models of the term structure of interest rates as well as arbitrage models and equilibrium models of interest rates, and to relate them to prevailing conditions in fixed income markets. 3. Critically assess the role, significance and structures of local and international markets for fixed income securities, including government, corporate and structured products. 4. Discriminate between the elements which create risk for fixed income securities and markets, and to evaluate a range of risk measurement metrics. | |||||||||||||||||||||||||||||||||||||||||
All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml |
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| Indicative Content and Learning Activities | |||||||||||||||||||||||||||||||||||||||||
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Valuation of Fixed Income Securities. This section covers the pricing of fixed income securities, including zero-coupon and discount securities and examines the structure and function of gobal bond markets. It also examines core fixed-income security metrics including duration, convexity and various measures of yield.. The Yield Curve. This section looks at the the term structure of interest rates which is the yield curve, to include the par-coupon curve, the forward curve, the spot curve, as well as treasury and corporate yield curves. We look at techniques for estimating the yield curve and we also examine and analyse theories of the yield curve.. Corporate Bonds & Credit Risk Analysis. This section examines and analyses the corporate bond sector, and the features and unique price/yield dynamics of corporate bonds. We also critically investigate and examine the risk factors specific to this sector with a focus on credit risk.n/a. Global and Emerging Bond Markets. This section seeks to develop participant's knowledge and understanding of global and emerging bond markets including the bond markets of China and an understanding of Islamic financing instruments which share similar characteristic and provide a similar global financing function to that of western bond markets.n/a. Fixed Income Instruments & Risk Management. This section concentrates on the valuation and the strategic application of fixed-income security risk management instruments. To include interest rate swaps,interest rate and bond futures, interest rate options, swaptions, interest rate caps, collars and floors. this section also incorporates credit rsik management tools such as credit default swaps (CDS.. Special Topics in Fixed Income Securities. This section concentrates on the valuation and the strategic application of fixed-income security risk management instruments. To include interest rate swaps,interest rate and bond futures, interest rate options, swaptions, interest rate caps, collars and floors. this section also incorporates credit rsik management tools such as credit default swaps (CDS).n/a. | |||||||||||||||||||||||||||||||||||||||||
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