BUS325 Fixed Income Instruments
Showing course contents for the educational year 2019 - 2020 .
Course responsible: Atle Guttorm Guttormsen
Teachers: Erik Smith-Meyer
ECTS credits: 10
Faculty: School of Economics and Business
Teaching language: EN, NO
Limits of class size:
Teaching exam periods:
This course starts in Spring parallel. This course has teaching/evaluation in Spring parallel, .
Course frequency: Annually
First time: Study year 2012-2013
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 1) why and how fixed income instruments are issued and traded at the market 2) arbitrage free pricing of fixed income instruments with and without interest rate volatility 3) methods to estimate credit risk 5) valuation and risk assessment of fixed income instruments with options 6) different theories behind the yield curve 7) 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 (calls and puts), convertible loan, yield curve.
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 investor
Knowledge about yield curve and modelling of the yield curve
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
After completed course the student will be able to contribute to problem solving related to financing, investing, credit analysis of companies, in addition to general and quantitative market analysis
- lectures, assignments ,self study, excel spreadsheets.
The syllabus will be announced in Canvas.
Basic finance and statistics, basic knowledge of Excel.
Participation on at least 2/3 of the lectures/seminars. Compulsory activity is valid until the next time the course is given.
Final written exam, 3,5 hours. Exam counts 100%.
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: 52 hours.
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 (firstname.lastname@example.org) for admission to the course.
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: B1 Calculator handed out, no other aids
Examination details: One written exam: A - E / F