Document
Fixed Income Securities
Dr H. K. Pradhan
Objectives:
This course is intended to analyze the fixed income securities markets and its implications for investments. It will analyze the market characteristics, instruments, selling techniques, pricing and valuation issues, floating rate instruments, risk and return of fixed income securities, portfolio management techniques, term structure modeling, corporate debt and convertibles, bonds with embedded options, sub-national debt analysis, credit risk analysis, and interest rate risk management with swaps, options and futures. The course intends to cover the specific features of the Indian Fixed Income Securities Markets. The course will construct several Excel based techniques to analyze bond cashflows analytics.
Course Structure:
The course will include lectures, bond cash flows analysis, term paper assignments and class exercises.
Contents:
Lecture 1: Indian Fixed Income Markets, Institutional Arrangements, Market Participants and Instruments, Investors Perspectives, Market Conventions, Debt Management & Monetary policies
Lecture 2: Bond Valuation, Time Value of Money, Price and Yield Conventions, Bond Valuation using Yield Curve, Yield & return, horizon return; Valuation of Repo & Reverse Repo
Lecture 3: Valuation of other Bonds: Floating Rate securities, Inflation index bonds, bonds with embedded options
Lecture 4: Introduction to Bloomberg, Interpretations of Fixed Income Instruments using Bloomberg Templates, Understanding Market Quotes and Conventions
Lecture 5: Corporate Bonds, Valuation, Implications for Rating & Migration, Investment Grade and Low Rated Bonds, Valuation of Convertibles
Lecture 6 & 7: Risk Identification in Bonds: Duration, Convexity, and Portfolio Immunization
Lecture 8 : Yield Curve Analysis, Par Bootstrapping, Modeling YC using Nelson-Seigel and Spline Methods, Spot & Forward rates, , Valuation of STRIPS
Lecture 9: Term Structure of Interest Rates
Dr H. K. Pradhan
Objectives:
This course is intended to analyze the fixed income securities markets and its implications for investments. It will analyze the market characteristics, instruments, selling techniques, pricing and valuation issues, floating rate instruments, risk and return of fixed income securities, portfolio management techniques, term structure modeling, corporate debt and convertibles, bonds with embedded options, sub-national debt analysis, credit risk analysis, and interest rate risk management with swaps, options and futures. The course intends to cover the specific features of the Indian Fixed Income Securities Markets. The course will construct several Excel based techniques to analyze bond cashflows analytics.
Course Structure:
The course will include lectures, bond cash flows analysis, term paper assignments and class exercises.
Contents:
Lecture 1: Indian Fixed Income Markets, Institutional Arrangements, Market Participants and Instruments, Investors Perspectives, Market Conventions, Debt Management & Monetary policies
Lecture 2: Bond Valuation, Time Value of Money, Price and Yield Conventions, Bond Valuation using Yield Curve, Yield & return, horizon return; Valuation of Repo & Reverse Repo
Lecture 3: Valuation of other Bonds: Floating Rate securities, Inflation index bonds, bonds with embedded options
Lecture 4: Introduction to Bloomberg, Interpretations of Fixed Income Instruments using Bloomberg Templates, Understanding Market Quotes and Conventions
Lecture 5: Corporate Bonds, Valuation, Implications for Rating & Migration, Investment Grade and Low Rated Bonds, Valuation of Convertibles
Lecture 6 & 7: Risk Identification in Bonds: Duration, Convexity, and Portfolio Immunization
Lecture 8 : Yield Curve Analysis, Par Bootstrapping, Modeling YC using Nelson-Seigel and Spline Methods, Spot & Forward rates, , Valuation of STRIPS
Lecture 9: Term Structure of Interest Rates