Fixed Income

• Bond markets and various forms of bonds • Spot rates • Forward rates, yield-to-maturity • Yield and spread curves • Valuation of bonds • Sensitivity ratios of bonds and bond portfolios (duration, modified duration, dollar duration, basis point value key rate duration, convexity, modified convexity, dollar convexity, key rate convexity) • Symmetrical derivative products on interest rates and bonds (FRA, interest rate swaps, forwards and futures on interest rates and bonds) • Arbitrage-free valuation of symmetrical interest rate derivatives and duplicate portfolios • Derivatives markets and exchanges (participants, products, clearing, margins, settlement price and delivery modalities) • Controlling the interest rate risk of a portfolio with derivatives.

Mode of delivery

face to face

Type

compulsory

Recommended or required reading and other learning resources/tools

Slides and Exercise sheets

Planned learning activities and teaching methods

ntegrated course (2 groups) Lecture, exercises, discussion

Assessment methods and criteria

Continuous assessment (student contributions in class) and written exam

Prerequisites and co-requisites

Financial Mathematics/Statistics

Infos

Degree programme

Banking and Finance (Bachelor)

Cycle

Bachelor

ECTS Credits

3.00

Language of instruction

German

Curriculum

Full-Time

Academic year

2021

Semester

2 SS

Incoming

No

Learning outcome

After successful completion of the course, students can • identify and explain various types of bonds and embedded derivatives traded on the financial markets • list the basic organisational and institutional characteristics of these products and exchanges • value bonds and derivatives (such as forwards/futures on bonds and interest rates, FRAs and interest rate swaps), • estimate and assess relevant parameters in the fixed income area • control a fixed income portfolio against various risks

Course code

0229-19-01-VZ-DE-15