Fixed Income Securities

The details
Essex Business School
Colchester Campus
Postgraduate: Level 7
Sunday 17 January 2021
Friday 26 March 2021
25 June 2020


Requisites for this module
BE354 and BE399 and BE953



Key module for

MSC N39012 Finance and Investment,
MSC N39024 Finance and Investment

Module description

This module focuses on concepts and tools that are useful to asset managers who want to use fixed income securities for investing, market-making or speculating.

First, fixed income markets and instruments are overviewed; then, basic concepts of bond portfolio management (e.g. price-yield relationship, discount factors, and price sensitivity measures) are introduced. The module is completed by exploring the quantitative tools used to value bonds and manage bond portfolios. Both theoretical intuitions and practical implications are emphasized.

This course is quantitative in nature and some mathematical derivations may be carried out. Although recalls of the main concepts will be made in class, you are expected to be familiar with basic mathematics, statistics and economics and some basic concepts of investment management.

Module aims

The module aims to:

1. Study fixed income markets and instruments

2. Study concepts of bond portfolio management

3. Examine the quantitative tools used to value and manage bond portfolios

Module learning outcomes

On successful completion of the module, students will be able to:

1. Understand the depth and breadth of fixed income markets and instruments
2. Construct, value and manage portfolio of fixed income securities
3. Compute and interpret the term structure of interest rates
4. Set up investment strategies based on Treasury and corporate fixed income securities

Module information

Skills for Your Professional Life (Transferable Skills)

After completing this module, students have developed and improved the following employability-related skills:

1. In-depth knowledge and understanding of the concepts and tools related to fixed income investment and trading activities
2. Enhance your analytical and critical thinking by solving real-world problems, such as producing a credit analysis report, identifying mispricing and setting up a trading strategy, and interpreting the shape and movement of the yield curve
3. Improve your commercial awareness by investigating the current trends in fixed income markets

Learning and teaching methods

This Module is normally delivered through: This module will be delivered over 10 weeks in the spring term. There will be a weekly two-hour Lecture. In academic year 2020-2021 the delivery is likely to be different and involve online learning.


  • Fabozzi, Frank J. (2013) Bond markets, analysis, and strategies, Harlow: Pearson Education Limited.
  • Petitt, Barbara S. Pêcherot; Fabozzi, Frank J.; CFA Institute. (2015) Fixed income analysis, Hoboken, New Jersey: John Wiley. vol. CFA Institute investment series

The above list is indicative of the essential reading for the course. The library makes provision for all reading list items, with digital provision where possible, and these resources are shared between students. Further reading can be obtained from this module's reading list.

Assessment items, weightings and deadlines

Coursework / exam Description Deadline Weighting
Written Exam  In-class Test      
Exam  120 minutes during Summer (Main Period) (Main) 

Overall assessment

Coursework Exam
30% 70%


Coursework Exam
0% 100%
Module supervisor and teaching staff
Dr Emmanouil Pyrgiotakis, email:
Dr Chiara Banti



External examiner

Prof Donal Gregory McKillop
Queen’s University Belfast
Professor of Financial Services
Available via Moodle
Of 22 hours, 22 (100%) hours available to students:
0 hours not recorded due to service coverage or fault;
0 hours not recorded due to opt-out by lecturer(s).


Further information
Essex Business School

* Please note: due to differing publication schedules, items marked with an asterisk (*) base their information upon the previous academic year.

Disclaimer: The University makes every effort to ensure that this information on its Module Directory is accurate and up-to-date. Exceptionally it can be necessary to make changes, for example to programmes, modules, facilities or fees. Examples of such reasons might include a change of law or regulatory requirements, industrial action, lack of demand, departure of key personnel, change in government policy, or withdrawal/reduction of funding. Changes to modules may for example consist of variations to the content and method of delivery or assessment of modules and other services, to discontinue modules and other services and to merge or combine modules. The University will endeavour to keep such changes to a minimum, and will also keep students informed appropriately by updating our programme specifications and module directory.

The full Procedures, Rules and Regulations of the University governing how it operates are set out in the Charter, Statutes and Ordinances and in the University Regulations, Policy and Procedures.