Universität Wien

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

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work
MIXED
Moodle

Registration/Deregistration

Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).

Details

max. 50 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

The course is conducted hybrid

Midterm exam: DIGITAL 14.12.2021 Tuesday, 15:00-16:30, MOODLE

Final exam: DIGITAL 25.01.2022 Tuesday, 15:00-16:30, MOODLE

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

Information

Aims, contents and method of the course

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

Assessment and permitted materials

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.

Minimum requirements and assessment criteria

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%.

Examination topics

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

Reading list

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.

Association in the course directory

Last modified: Fr 12.05.2023 00:12