Type of Credit: Elective
Credit(s)
Number of Students
The fixed-income market, also known as the debt market, is a segment of the capital market where participants engage in the issuance and trading of debt securities. This market primarily encompasses government-issued securities and corporate debt instruments, facilitating the transfer of capital from savers to issuers of debt securities. Understanding the workings of these markets, the pricing of fixed-income securities, their trading and sale mechanisms, and the factors influencing investor and borrower perceptions is crucial for comprehending the dynamics of the fixed-income securities market.
This course is highly demanding, both in terms of time and effort, and is not suitable for students who cannot commit to its rigorous workload. Although this is an elective course, it comes with more advanced and demanding requirements than a typical core course. Students are expected to dedicate substantial time to complete extensive readings, analyze complex cases, and deliver a comprehensive term project. If you are unable to prioritize this course above other commitments, it is strongly recommended that you do not enroll. Failure to adequately prepare and participate will likely result in poor performance and a diminished learning experience.
能力項目說明
The purpose of this course is to explore the bond markets and provide an introduction to the analysis of fixed-income securities.
We will begin by covering the fundamentals of bond pricing, including bond valuation, and the measurement of returns and risks associated with bonds. Next, we will examine various sectors of the debt markets, delving into their unique characteristics and roles. The course will then address the concept of securitization and introduce the basic elements of mortgage-backed securities. Following this, we will review tools for valuing fixed-income derivatives and apply these tools to study the derivatives in depth. Finally, we will conclude with an exploration of popular structured products, discussing their design and applications in the market.
| 教學週次Course Week | 彈性補充教學週次Flexible Supplemental Instruction Week | 彈性補充教學類別Flexible Supplemental Instruction Type |
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TBA.
Grades in this course will be determined based on homework assignments (including a term paper), tests, and class participation.
Class participation will be assessed based on the student’s ability to actively initiate and contribute to discussions during presentations, as well as their engagement with all materials covered in class.
Supplementary readings related to specific topics discussed in class will be assigned every one or two weeks. These readings may be used for class discussions, presentations, or homework assignments.
The term paper for this course involves a written analysis of a selected fixed-income security. You will be required to examine the chosen product from the perspectives of innovative financing, securitization, profit monetization, and risk transfer.
Course materials include book chapters (no textbooks), lecture notes, and some journal articles.
1. Veronesi, P. Fixed Income Securities: Valuation, Risk, and Risk Management. John Wiley and Sons, 2010.
2. Fabozzi, F., Bond Markets, Analysis and Strategies, Prentice-Hall: Englewood Cliffs, New Jersey, 8th edition, 2012.
3. Sundaram, R. K, and Das, S. R., Derivatives: Principles and Practice, 2nd edition, McGraw-Hill International, 2016.
4. Some journal articles and research papers will be assigned as supplementary and additional materials during the semester