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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EF5115 The objective of this module is for participants to develop a deeper understanding of the characteristics of fixed income securities and the markets that they are traded on internationally, as well as developing participant's understanding 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 historic and contemporary debt-market structures in an international context. This module is delivered through a combination of weekly lectures and tutorials. Students are expected to attend lectures, to contribute to tutorials and to engage in on-line learning and research activities on a regular basis. In tutorials students will discuss solutions to problem sets and as well as expert articles. | |||||||||||||||||||||||||||||||||||||||||
| Learning Outcomes | |||||||||||||||||||||||||||||||||||||||||
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1. Value fixed income securities including government and agency securities, corporate debt, bonds with embedded options,asset backed securities(ABS); and derivatives for managing interest rate risk. 2. Critique theoretical models of interest rates, to include basic models of the term structure as well as arbitrage models and equilibrium models of interest rates, and to assess their relevanvce to fixed income markets. 3. Critically assess 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 and introduction to bond markets. Pricing fixed income securities, including zero-coupon and discount securities, analysis ofthe structure and function of gobal bond markets. Yield,Duration, and Convexity.. The Yield Curve. This section looks the yield curve, par-coupon curves, spot and forward curves,as well as sovereign and corporate curves. Techniques and theories for fixed income portfolio management, related to yield curves and interest rate models.. Fixed Income Instruments and Risk Management. This section examines the measurement and management of risk in fixed income securities and portfolios.Interest rate swaps,interest rate and bond futures, interest rate options, swaptions,caps, collars and floors.. Corporate Bonds and Credit Risk Analysis. Analysis of corporate bond sector, and the unique investment characteristics of corporate bonds. Critical analysis of risk factors specific to this sector with a focus on credit risk eg CDS.. 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 Islamic financing instruments.. Special Topics in Fixed Income Securities. This can include asset backed securities(ABS), mortgage backed securities(MBS), collateralised debt obligations (CDOs), Bull and Bear FRNs - floaters and Inverse Floaters, Dual currency bonds and other types of fixed income securities.. | |||||||||||||||||||||||||||||||||||||||||
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| Indicative Reading List | |||||||||||||||||||||||||||||||||||||||||
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| Other Resources | |||||||||||||||||||||||||||||||||||||||||
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| Programme or List of Programmes | |||||||||||||||||||||||||||||||||||||||||
| PBSSA | PG Exchange(Business School) | ||||||||||||||||||||||||||||||||||||||||
| PBSSAO | PG Study Abroad(Business School) | ||||||||||||||||||||||||||||||||||||||||
| Timetable this semester: Timetable for EF583 | |||||||||||||||||||||||||||||||||||||||||
| Date of Last Revision | 01-DEC-08 | ||||||||||||||||||||||||||||||||||||||||
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