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Portfolio Management: Fixed Income Securities

2017-2018

IESEG School of Management ( IÉSEG )

Code Cours :

1718-IÉSEG-MBK1S2-FIN-MBKCE10UE

FINANCE


Niveau Année de formation Période Langue d'enseignement 
MSc in Investment Banking and Capital Markets1S2English
Professeur(s) responsable(s)M.PETITJEAN
Intervenant(s)Mikael PETITJEAN Eric BATTINI, guest speaker


Pré requis

- Describe all the key features of a fixed-income security.
- Identify the risks associated with investing in bonds.
- Identify the different bond sectors and instruments.
- Understand yield spreads.
- Value some key debt instruments.
- Use yield measures, spot rates and forward rates appropriately.
- Measure interest rate risk.

Objectifs du cours

At the end of the course, the student should be able to :
- consider the importance of benchmark selection when managing a portfolio;
- understand immunization strategies to fund a liability structure, including classical immunization, contingent immunization, and cash flow matching ;
- evaluate the effect of leverage on portfolio duration and investment returns ;
- construct and evaluate an immunization strategy based on interest rate futures ;
- critique risk measures ;
- value the impact of holding foreign bonds in terms of risk and return ;
- illustrate how breakeven spread analysis can be used to evaluate the risk in seeking yield advantages across international bond markets.

Contenu du cours

Chapter 1

Bond Portfolio Benchmarks, Strategies, and Selection
Alignment of Risk Exposures
Scenario Analysis
Classical Immunization
Duration contribution, Dollar Duration Adjustment, and Spread Duration
Extension to Classical Immunization
Immunization Risks
Immunizing Single and Multiple Liabilities, and General Cash Flows

Chapter 2

Leverage Effect and Repurchase Agreements
Bond Risk Measures
Managing Interest rate Risk with Interest Rate Futures (Dollar Duration, Duration Management)
Managing Default Risk, Credit Spread Risk, and Downgrade Risk With Derivatives
Internation Bond Excess Returns and Duration (with Hedging Decision)
Breakeven Spread Analysis


Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
Interactive class16,00   Theoretical consideration with applications
Distance learning
Video-Conferences10,00   Prerequisites for each interactive course
Independent work
Reference manual 's readings8,00   Prerequisites for each interactive course
Independent study
Estimated personal workload16,00   Answer MCQs as preparation
for the interactive course
Charge de travail globale de l'étudiant50,00  

Méthodes pédagogiques

  • Tutorial
  • E-learning
  • Interactive class
  • Case study


Évaluation

The exam is based on MCQs and mini-case studies based on real-life problems.

Type de ContrôleDuréeNombrePondération
Continuous assessment
QCM8,00010,00
Final Exam
Written exam2,00090,00
TOTAL     100,00

Bibliographie

  • CFA Institute (2017), Fixed Income and Equity Portfolio Management, Study Sessions 10 and 11, Readings 20 to 22, 154p. -

  • Bolder, D. J. (2015), Fixed-Income Portfolio Analytics: A Practical Guide to Implementing, Monitoring and Understanding Fixed-Income Portfolios, Springer. -


Ressources internet



 
* Informations non contractuelles et pouvant être soumises à modification
 
 
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