Universität Wien

040016 KU Fixed Income Securities (MA) (2021W)

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Prüfungsimmanente Lehrveranstaltung
GEMISCHT
Moodle

An/Abmeldung

Hinweis: Ihr Anmeldezeitpunkt innerhalb der Frist hat keine Auswirkungen auf die Platzvergabe (kein "first come, first served").

Details

max. 50 Teilnehmer*innen
Sprache: Englisch

Lehrende

Termine (iCal) - nächster Termin ist mit N markiert

hybride Durchführung

Zwischenklausur: DIGITAL Dienstag, 14.12.2021, 15:00-16:30, MOODLE

Endklausur: DIGITAL 25.01.2022 Dienstag, 15:00-16:30, MOODLE

  • Dienstag 05.10. 15:00 - 16:30 Digital
  • Dienstag 12.10. 15:00 - 16:30 Digital
  • Dienstag 19.10. 15:00 - 16:30 Digital
  • Dienstag 09.11. 15:00 - 16:30 Digital
  • Dienstag 16.11. 15:00 - 16:30 Digital
  • Dienstag 23.11. 15:00 - 16:30 Digital
  • Dienstag 30.11. 15:00 - 16:30 Digital
  • Dienstag 07.12. 15:00 - 16:30 Digital
  • Dienstag 14.12. 15:00 - 16:30 Digital
  • Dienstag 11.01. 15:00 - 16:30 Digital
  • Dienstag 18.01. 15:00 - 16:30 Digital
  • Dienstag 25.01. 15:00 - 16:30 Digital

Information

Ziele, Inhalte und Methode der Lehrveranstaltung

The course provides an introduction to fixed income securities. We will start with the discussion of the specific properties of such securities and the institutional details of the most important markets. The main part of the course will be devoted to valuation techniques and risk management. In the next part, we will cover non-standard bonds such as those that include an option and those featuring default risk. If time permits, we will discuss securitization in the last part of the course.

Topics of the Course:

1. Fixed Income Markets
2. Pricing Bonds
3. Term Structure
4. Interest Rate Risk
5. Callable Bonds, Warrants, and Convertible Bonds
6. Credit Risk
7. Securitization

Art der Leistungskontrolle und erlaubte Hilfsmittel

The grade will be based on two exams on December, 14, and January, 25, and active class participation.

The course will be taught via video conferencing with the exception of the exams. The exams will take place on Moodle.

Mindestanforderungen und Beurteilungsmaßstab

40% maximum of the scores on the first and the second exam
40% second exam
20% active class participation

Minimum requirement for a positive grade: a total of 50%.

Prüfungsstoff

All material covered in class and in the required readings announced in class

Literatur

Bodie, Z., Kane, A. and Marcus, A. (2014): Investments and Portfolio Management, 10th global edition, McGraw Hill.
Sundaresan, S. (2009): Fixed Income Markets and their Derivatives, 3rd edition, Academic Press.
Veronesi, P. (2010): Fixed Income Securities, Wiley.

Zuordnung im Vorlesungsverzeichnis

Letzte Änderung: Fr 12.05.2023 00:12