Registry
Module Specifications
Archived Version 2010 - 2011
| |||||||||||||||||||||||||||||||||||||||||
Description The objective of this course is to develop a deeper understanding of the characteristics of fixed income securities and to introduce students to the practice of interest rate risk management. | |||||||||||||||||||||||||||||||||||||||||
Learning Outcomes 1. Apply the contingent claims framework to derive the prices of fixed income securities 2. Assess the sensitivity of fixed income securities to interest rate movements 3. Evaluate interest rate options using the models of Black and Black, Derman and Toy 4. Calculate the credit exposure arising from derivative counterparty exposures 5. Value credit default swaps and use the copula approach to value nth-to-default swaps 6. Explain how debt is securitised and how the resulting tranches are rated | |||||||||||||||||||||||||||||||||||||||||
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 |
|||||||||||||||||||||||||||||||||||||||||
Indicative Content and
Learning Activities Pricing of BondsBond price formula; sensitivity of bond prices; time, yield and coupon rate; zero coupon bond prices.Bond Yield Measures: Gross redemption yield; current yield; yield to call; realised compound yield; grossed up net redemption yield.Bond Price Volatility, Duration and Convexity: Macauley Duration; duration and maturity for nonzero-coupon bonds; the effect of the yield level and coupon frequency; duration as time elapses; duration between maturity dates; modified duration; convexity.The Term Structure of Interest Rates: Factors determining the level of forward rates; influences on the short-term rate; the mathematics of inflation and interest: Fisher's Law; influences on the long-run interest rate; traditional theories of the yield curve; newer theories of the yield curve.Callable Bonds, Option Adjusted Yields: Option adjusted duration and convexity; call adjusted estimation technique; significance and diversity of the call provision.Mortgage Backed Securities: Mortgage and pass-through cash flows; comparison of features of mortgage pass-through securities with treasuries and corporates: payment delay, monthly payments, prepayment effects, seasoning.Convertible Bonds: Who issues convertibles? advantages and disadvantages to issuing firms; advantages and disadvantages to the investor; analysis of convertible securities; dilution of the convertible privilege; when should a convertible be converted or sold?Index Linked Securities: Characteristics; impact of inflation; effects of not holding to maturity; impact of duration on volatilityThe Swap Yield Curve: Short-term swaps; long-term swaps; swap spread boundary conditions; other factors affecting long-term spreads; term structure fitting; forward term structure estimation. | |||||||||||||||||||||||||||||||||||||||||
| |||||||||||||||||||||||||||||||||||||||||
Indicative Reading List
| |||||||||||||||||||||||||||||||||||||||||
Other Resources | |||||||||||||||||||||||||||||||||||||||||
Programme or List of Programmes |
MITB | MSc in Investment, Treasury & Banking |
- See the module specification for EF507 in 2003 - 2004
- See the module specification for EF507 in 2004 - 2005
- See the module specification for EF507 in 2005 - 2006
- See the module specification for EF507 in 2006 - 2007
- See the module specification for EF507 in 2007 - 2008
- See the module specification for EF507 in 2008 - 2009
- See the module specification for EF507 in 2009 - 2010
- See the module specification for EF507 in 2010 - 2011
- See the module specification for EF507 in 2011 - 2012
- See the module specification for EF507 in 2012 - 2013
- See the module specification for EF507 in 2013 - 2014
- See the module specification for EF507 in 2014 - 2015
- See the module specification for EF507 in 2015 - 2016
- See the module specification for EF507 in 2016 - 2017
- See the module specification for EF507 in 2017 - 2018
- See the module specification for EF507 in 2018 - 2019
- See the module specification for EF507 in 2019 - 2020
- See the module specification for EF507 in 2020 - 2021
- See the module specification for EF507 in 2021 - 2022
- See the module specification for EF507 in 2022 - 2023
- See the module specification for EF507 in 2023 - 2024
- See the module specification for the current year