Course code BUS325

BUS325 Fixed Income Instruments

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Showing course contents for the educational year 2022 - 2023 .

Course responsible: Torun Fretheim
Teachers: Tom Erik Sønsteng Henriksen
ECTS credits: 10
Faculty: School of Economics and Business
Teaching language: EN, NO
(NO=norsk, EN=Engelsk)
Limits of class size:
-
Teaching exam periods:
This course starts in Autumn parallel. This course has teaching/evaluation in Autumn parallel. 
Course frequency: Once a year - autumn.
First time: Study year 2012-2013
Course contents:

The course will cover bonds, interest rate swaps and other fixed income instruments that are actively used in the Norwegian as well as international financial markets.

The students will study:

  • Why and how fixed income instruments are issued and traded at the market
  • Arbitrage free pricing of fixed income instruments with and without interest rate volatility
  • Methods to estimate credit risk
  • Valuation and risk assessment of fixed income instruments with options
  • Different theories behind the yield curve
  • Modelling of the yield curve.

In the course we will actively use and build spreadsheets (Excel) to analyze fixed income instruments.

Key words: government financing, private financing, hedging and investments, fixed income asset management, yield, duration, convexity, swap spreads, option adjusted spread, z-spread, credit spreads, credit risk, caps, floors, swaption, options, convertible loan, yield curve.

Learning outcome:

Knowledge

After completing the course, the student will have:

  • Knowledge about fixed income markets
  • Knowledge about different fixed income instruments
  • Knowledge about different pricing models for fixed income instruments, including arbitrage free pricing with and without interest rate volatility
  • Knowledge about risk and return in fixed income instruments
  • Knowledge about credit analysis and models for credit analysis
  • Knowledge about how options affect value and risk for issuer and buyer
  • Knowledge about the yield curve and modelling of the yield curve

Skills

After completing the course, the student can:

  • Analyze credit markets and the most important fixed income instruments
  • Perform valuation of fixed income instruments
  • Analyze interest rate risk
  • Analyze credit risk
  • Analyze bonds with options
  • Analyse the yield curve based on models for shape and volatility

General competence 

After completing the course:

  • The student can discuss professional issues within the subject area
  • The student has acquired an ability for reflection and critical thinking within the subject area
  • The student can contribute to problem solving related to financing, investing, credit analysis of companies, in addition to general and quantitative market analysis
Learning activities:
- lectures, assignments, self study, spreadsheets.
Teaching support:
-
Syllabus:
The syllabus will be announced in Canvas at the beginning of the semester.
Prerequisites:

BUS220 Finance and Investments or equivalent.

Basic finance and statistics, basic knowledge of Excel.

Recommended prerequisites:
-
Mandatory activity:
Four out of five assignments must be accepted in order to present oneself for final exam.  Accepted assignments are valid for one year.
Assessment:
Final written exam, 3,5 hours (open book). Exam counts 100%. 
Nominal workload:
250 hours.
Entrance requirements:
The course is for master students enrolled in the following programs: Master in Business and Administration and Master in Economics. It is also open for other master programmes from NMBU with satisfactory competence.
Reduction of credits:
-
Type of course:
Lectures: 4 hours per week.
Note:
The course is in English if there are one or more international students. Incoming students can contact student advisors at the School of Economics and Business (studieveileder-hh@nmbu.no) for admission to the course. 
Examiner:
External examiner will control the quality of syllabus, questions for the final examination, and principles for the assessment of the examination answers.
Allowed examination aids: C3 Alle typer kalkulatorer, alle andre hjelpemidler - inkludert digitale
Examination details: One written exam: Letter grades