Topics: Bond, Bond market, Credit default swap Pages: 3 (510 words) Published: July 1, 2013
Fixed Income Securities

Dr H. K. Pradhan
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.

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...
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