Fixed Income Securities
Essex Business School
Postgraduate: Level 7
Monday 13 January 2020
Friday 20 March 2020
24 September 2019
Requisites for this module
BE354 and BE399 and BE953
MSC N39012 Finance and Investment,
MSC N39024 Finance and Investment
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.
To study fixed income markets and instruments
• To study concepts of bond portfolio management
• To examine the quantitative tools used to value and manage bond portfolios
On successful completion of the module, students will be able to:
• Understand the depth and breadth of fixed income markets and instruments
• Construct, value and manage portfolio of fixed income securities
• Compute and interpret the term structure of interest rates
• Set up investment strategies based on Treasury and corporate fixed
Skills for Your Professional Life (Transferable Skills)
After completing this module, students have developed and improved the following employability-related skills:
* In-depth knowledge and understanding of the concepts and tools related to fixed income investment and trading activities
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
* Improve your commercial awareness by investigating the current trends in fixed income markets
This module will be delivered over 10 weeks in the spring term. There will be a weekly two-hour Lecture.
- 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
||120 minutes during Summer (Main Period) (Main)
Module supervisor and teaching staff
Dr Chiara Banti
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).
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