SIM 323: Fixed Income Securities

Learning Outcomes

At the completion of this course, students should be able to:

1. define debt instruments;
2. identify their basic features;
3. display an appreciable knowledge of the various areas of the complex nature of fixed- income markets and securities;

• discuss risks associated with investing in debt instruments; and
• demonstrate the ability to apply appropriate management techniques to hedge the risks associated with fixed-income instruments.

Course Contents

Overview of features of debt instruments and risks associated with investing in these instruments. Debt and money markets -participants, operations, trading activities. Fixed- income instruments such as Government bonds, corporate bonds, credit ratings, high-yield bonds, international bonds, mortgage-backed securities, etc. Money market instruments such as Treasury bills, commercial paper, repurchase agreements, bills of exchange, etc. Fixed- income valuation methods like traditional approach, arbitrage-free approach, yield measures, volatility measures. Term-structure of interest rates and theories of term structure, derivation of zero-coupon yield curve. methods, Principles of credit analysis such as credit scoring, credit risk modelling, etc. Fixed-income portfolio structure and management strategies for instance portfolio’s risk profile, managing funds against a bond market index.