DESCRIPTIFS DES COURS 2010-2011 Fixed Income (5AF2009)

DESCRIPTIFS DES COURS 2010-2011
• Faculté des sciences économiques
• www.unine.ch/seco
Fixed Income (5AF2009)
Filières concernées
Nombre d'heures
Validation
Crédits
ECTS
Master en finance, orientation analyse financière
Cours: 3 ph
TP: 1 ph
cont. continu 6
ph=période hebdomadaire, pg=période globale, j=jour, h=heure, min=minute
Période d'enseignement:
• Semestre Printemps
Equipe enseignante:
Professor Gresse Carole (Université Paris-Dauphine)
c/o Institute of Financial Analysis
Pierre-à-Mazel 7
CH-2000 Neuchâtel
Tel. +41 32 718 1350
Email: [email protected]
Website: http://www.carolegresse.com
Marami Ali, teaching assistant/PhD candidate
Institute of Financial Analysis
Pierre-à-Mazel 7
CH-2000 Neuchâtel
Tel. +41 32 718 1534
Email: [email protected]
Objectifs:
This course presents the organization and the mechanisms of fixed income markets. At the end of the course, students should know the
products and securities traded in monetary, bond, and interest rate derivatives markets. They should be able to value bonds, measure the risks
associated with investing in corporate and sovereign bonds, understand the relationships between yields, spot interest rates, and their
maturities, price interest rate swaps, use the binomial model to price interest rate optional products, and understand the tools used to value
mortgage and asset-backed securities.
Contenu:
Part I (CFA program, Level 1)
Chapter 1. Features of Debt Securities and Overview of Interest Rate Markets
Chapter 2. Traditional Valuation of Debt Securities
Chapter 3. Risks Associated with Investing in Bonds
Chapter 4. The Measurement of Interest Rate Risk
Chapter 5. Interest Rate Term Structure and Arbitrage-Free Valuation
Part II (CFA program, Level 2)
Chapter 1. Valuation of Bonds with Embedded Options
Chapter 2. Interest Rate Derivative Instruments
Chapter 3. Valuation of Interest Rate Derivative Instruments
Chapter 4. Mortgage-Backed Sector of the Bond Market
Chapter 5. Asset-Backed Securities
Chapter 6. Valuing Mortgage-Backed and Asset-Backed Securities
Forme de l'évaluation:
Tutorial participation: 15%, mid-term exam: 35%, 2-hour final written exam (50%).
Reexamination session (September): 2-hour written exam (100%).
Documentation:
Fabozzi, Frank J., Fixed Income Analysis, 2nd edition, 2007, Wiley, CFA Institute Investment Series
DESCRIPTIFS DES COURS 2010-2011
• Faculté des sciences économiques
• www.unine.ch/seco
Fixed Income (5AF2009)
Forme de l'enseignement:
Course: 3 hours per week, Exercices: 1 hour per week