Last modified: 15 Mar 2024 13:46
This course examines the main aspects of fixed income analysis. We start with an overview of the main fixed income assets, including: government securities, corporate instruments and asset-backed securities. We then discuss the main types of risk encountered by fixed income investors. Special attention is given to interest rate risk, which is a fundamental concept in fixed income analysis. We derive the main measures of interest rate risk and learn how to interpret these measures. In addition, we investigate theoretical aspects of interest rates and study theories that aim to explain the shape of the term structure of interest rates and its dynamics over time. We also study credit risk, its relation to corporate bonds and methods used by rating agencies to evaluate that risk. Finally, we discuss selected aspects of bond portfolio management such as portfolio immunisation and we consider how interest rate derivatives can be used in this process.
| Study Type | Postgraduate | Level | 5 |
|---|---|---|---|
| Session | Second Sub Session | Credit Points | 15 credits (7.5 ECTS credits) |
| Campus | Aberdeen | Sustained Study | No |
| Co-ordinators |
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This course examines the main aspects of fixed income analysis. We start with an overview of the main fixed income assets, including: government securities, corporate instruments and asset-backed securities. We then discuss the main types of risk encountered by fixed income investors. Special attention is given to interest rate risk, which is a fundamental concept in fixed income analysis. We derive the main measures of interest rate risk and learn how to interpret these measures. In addition, we investigate theoretical aspects of interest rates and study theories that aim to explain the shape of the term structure of interest rates and its dynamics over time. We also study credit risk, its relation to corporate bonds and methods used by rating agencies to evaluate that risk. Finally, we discuss selected aspects of bond portfolio management such as portfolio immunisation and we consider how interest rate derivatives can be used in this process.
| Assessment Type | Summative | Weighting | 40 | |
|---|---|---|---|---|
| Assessment Weeks | Feedback Weeks | |||
| Feedback | Word Count | 2000 | ||
| Knowledge Level | Thinking Skill | Outcome |
|---|---|---|
| Conceptual | Evaluate | To be able to conduct a critical discussion about practical and theoretical aspects of fixed income analysis |
| Conceptual | Evaluate | To develop the ability to interpret observed interest rates in the context of theories of interest rates and critically evaluate the implication of relevant theories from a practical perspective |
| Conceptual | Understand | To develop an understanding of types of risk that are associated with investments in fixed income securities and to be able to critically assess the factors that influence that risk |
| Conceptual | Understand | To develop knowledge and understanding of the main aspects of fixed income securities and their analysis from a theoretical and practical perspective |
| Factual | Analyse | To develop intellectual skills that enable rigorous and logical problem solving abilities through consideration of problems related to fixed income analysis |
| Assessment Type | Summative | Weighting | 60 | |
|---|---|---|---|---|
| Assessment Weeks | Feedback Weeks | |||
| Feedback | ||||
| Knowledge Level | Thinking Skill | Outcome |
|---|---|---|
| Conceptual | Evaluate | To develop the ability to interpret observed interest rates in the context of theories of interest rates and critically evaluate the implication of relevant theories from a practical perspective |
| Conceptual | Evaluate | To be able to conduct a critical discussion about practical and theoretical aspects of fixed income analysis |
| Conceptual | Understand | To develop an understanding of types of risk that are associated with investments in fixed income securities and to be able to critically assess the factors that influence that risk |
| Conceptual | Understand | To develop knowledge and understanding of the main aspects of fixed income securities and their analysis from a theoretical and practical perspective |
| Factual | Analyse | To develop intellectual skills that enable rigorous and logical problem solving abilities through consideration of problems related to fixed income analysis |
| Factual | Understand | To develop an understanding and appreciation of how theory and evidence can be combined using selected problems related to bond portfolio management |
| Procedural | Apply | To acquire practical quantitative analysis skills, using relevant Excel spreadsheets in the area of valuation of fixed income securities and measuring risk associated with selected securities |
There are no assessments for this course.
| Knowledge Level | Thinking Skill | Outcome |
|---|---|---|
| Conceptual | Understand | To develop knowledge and understanding of the main aspects of fixed income securities and their analysis from a theoretical and practical perspective |
| Conceptual | Understand | To develop an understanding of types of risk that are associated with investments in fixed income securities and to be able to critically assess the factors that influence that risk |
| Procedural | Apply | To acquire practical quantitative analysis skills, using relevant Excel spreadsheets in the area of valuation of fixed income securities and measuring risk associated with selected securities |
| Conceptual | Evaluate | To develop the ability to interpret observed interest rates in the context of theories of interest rates and critically evaluate the implication of relevant theories from a practical perspective |
| Factual | Understand | To develop an understanding and appreciation of how theory and evidence can be combined using selected problems related to bond portfolio management |
| Factual | Analyse | To develop intellectual skills that enable rigorous and logical problem solving abilities through consideration of problems related to fixed income analysis |
| Conceptual | Evaluate | To be able to conduct a critical discussion about practical and theoretical aspects of fixed income analysis |
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