28E00900 - Fixed Income, 02.03.2021-12.04.2021

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Please note! Course description is confirmed for two academic years, which means that in general, e.g. Learning outcomes, assessment methods and key content stays unchanged. However, via course syllabus, it is possible to specify or change the course execution in each realization of the course, such as how the contact sessions are organized, assessment methods weighted or materials used.

LEARNING OUTCOMES

The objective of the course is to give students the key tools for analyzing, valuing and risk managing fixed income securities and derivatives, understanding the practical applications of such concepts, and being able to study current issues in the fixed income markets. The course will be useful to students interested in careers in banking, financial services, investment management, corporate financial management, or in the academia.

Credits: 6

Schedule: 02.03.2021 - 12.04.2021

Teacher in charge (valid 01.08.2020-31.07.2022): Antti Suhonen

Teacher in charge (applies in this implementation): Aleksi Pitkäjärvi, Antti Suhonen

Contact information for the course (valid 03.02.2021-21.12.2112):

Lecturer: Antti Suhonen (antti.suhonen@aalto.fi). Meetings by appointment (Zoom).

Teaching assistant: Aleksi Pitkäjärvi (aleksi.pitkajarvi@aalto.fi). Meetings by appointment (Zoom).

CEFR level (applies in this implementation):

Language of instruction and studies (valid 01.08.2020-31.07.2022):

Teaching language: English

Languages of study attainment: English

CONTENT, ASSESSMENT AND WORKLOAD

Content

  • Valid 01.08.2020-31.07.2022:

    Topics discussed include the global fixed income market structure, valuation of key instruments traded in both government bond and credit markets including derivatives such as options, futures, swaps and structured products, interest rate risk management and modelling as well as the impact of macroeconomic events on fixed income markets. The course will cover theoretical models and concepts as well as practical applications and analysis.

Assessment Methods and Criteria

  • Valid 01.08.2020-31.07.2022:

    Final exam (50%)
    Assignments and cases (50%)

     

    Final exam (35%)
    Assignments and cases (65%)

  • Applies in this implementation:

    Requirements:

    1.     
    Lectures

    2.     
    Weekly
    Graded Assignments

    3.     
    Course
    Project

    4.     
    Written
    exam. The exam will be based on

    a.     
    Lectures
    and handouts

    b.     
    Additional
    reading referenced during the lectures

    c.     
    Selected
    chapters from the textbook

     

    Grading:

    ·       
    Graded
    Assignments: 35 credits

    ·       
    Course
    Project: 30 credits

    ·       
    Online
    exam: 35 credits (minimum 14/35 credits required)

    ·       
    Max.
    5 bonus credits may be awarded for active class participation

    ·       
    Max.
    5 bonus credits may be awarded for exceptional work in Course Project

    ·       
    The
    Graded Assignments and Course Project will be completed in teams. Each member
    of a team will receive the same grade

    ·       
    Minimum
    aggregate credits required for pass: 50/100


DETAILS

Study Material
Prerequisites

  • Valid 01.08.2020-31.07.2022:

    Rahoituksen perusteet or Principles of Corporate Financial Management and Derivatives and Fixed Income.

Registration for Courses

  • Valid 01.08.2020-31.07.2022:

    Course registration via WebOodi. See the registration time in WebOodi. For any registration related matter, please contact the department's planning officer.

    In case of failing to register to the course in time you can show up on the first lecture and enquire for a seat. Please do not send any emails related to course registration between end of course registration time and first lecture!

    A maximum of 70 students can be accepted to the course.

    - Students at Aalto Finance M.Sc. programme (i.e. who have graduated as B.Sc.) will be guaranteed a seat on Finance M.Sc. courses. Finance M.Sc. students re-taking the course (grade already registered in WebOodi) will not be prioritized and can participate only if there are places remaining.
    - CEMS students are similarly guaranteed a seat for Finance M.Sc. courses, which have been designated as CEMS courses.

    Remaining seats are prioritized as follows, in the order of registration in WebOodi within one category:
    1. Finance M.Sc. exchange students from other universities
    2. Aalto Finance B.Sc. students with a finished B.Sc. thesis (registered in transcript of records)
    3. All other M.Sc. students

    Please follow carefully the registration deadlines of the courses and exams! Missing registration deadline automatically foregoes a guaranteed seat for Finance M.Sc. courses and puts prospective student at the bottom of the prioritization list.

  • Applies in this implementation:

    Please see pdf version of syllabus under "Materials" on course home page (MyCourses)

SDG: Sustainable Development Goals

    1 No Poverty

    8 Decent Work and Economic Growth

    9 Industry, Innovation and Infrastructure

FURTHER INFORMATION

Details on the schedule

  • Applies in this implementation:

    Lectures and course outline:

    2.3.                  Introduction to the course,
    housekeeping issues, overview of global fixed income markets and     instruments,
    market conventions

    Pre-reading: Assigned articles (see
    section “Preparation” above), Textbook chapter 0 and 15 (section on Fed Funds)

    3.3.                  Yield to maturity, compounding
    conventions, PnL decomposition, monetary policy, and central banks

    9.3.                  Discount factors, zero coupon,
    forward, and par rates, spreads

                            Chapters 1 and 2

    10.3.                 Duration, DV01, convexity. Exercise
    session from 3PM onwards.

                            Chapters 3 and 4

    16.3.                 Multi-factor risk metrics,
    evolution of interest rates, and the term structure

                            Chapters 5, 6, 8

    17.3.                 Interest rate derivatives. Exercise
    session from 3PM onwards.

                            Chapters 12-16

    23.3.                 Interest rate options and term
    structure models

    Chapters 7, 9, 10, 11, 18

    24.3.                 Credit markets: Corporate bonds,
    and Credit Default Swaps. Exercise session from 3PM onwards.

                            Chapter 19; Ch. 23-24 of
    Hull recommended

    30.3.                 Debt capital markets and the
    changing landscape of corporate borrowing. Exercise session from Noon
    onwards.

    31.3.                 Guest lecture hosted by Nordea
    Markets

    -       
    Fixed
    income market outlook

    -       
    Recent
    structural changes in the fixed income markets

    -       
    Practical
    introduction to Fixed Income trading and Debt Capital Markets

    -       
    Introduction
    to various fixed income job functions in an investment bank

    6.4.                  No lecture

    7.4.                  Course Project presentations,
    exam information, feedback, and discussion.


Rules of Conduct - Students´ Rights and Responsibilities (in force from 1 August 2020)

Aalto University Code of Academic Integrity and Handling Violations Thereof