JCU Logo

JOHN CABOT UNIVERSITY

COURSE CODE: "FIN 350"
COURSE NAME: "Fixed Income Analysis"
SEMESTER & YEAR: Fall 2019
SYLLABUS

INSTRUCTOR: Crina Pungulescu
EMAIL: [email protected]
HOURS: TTH 4:30-5:45 PM
TOTAL NO. OF CONTACT HOURS: 45
CREDITS: 3
PREREQUISITES: Prerequisite: FIN 301
OFFICE HOURS: by appointment

COURSE DESCRIPTION:
This course will cover the basics of fixed income analysis. The main topics covered are: features of fixed income securities and overview of bond sectors and instruments, risks associated with investing in bonds to include interest rate risk and credit risk, introduction to the valuation of fixed income securities to include valuing mortgage-backed and asset-backed securities and bonds with embedded options, study of yield measures, spot rates, and forward rates and the term structure and volatility of interest rates.
SUMMARY OF COURSE CONTENT:

This syllabus is a draft. The final syllabus will be distributed the first of class.

The topics covered are:

      Prices, Discount Factors and Arbitrage
      Spot, Forward, and Par Rates
      Returns, Spreads and Yields
      Measures of Interest Rate Risk and Hedging
      Multi-Factor Risk Metrics and Hedges: Forward-Bucket '01s
      Empirical Approaches to Risk Metrics and Hedging
      The Term Structure of Interest Rates
      Corporate Bonds and Credit Default Swaps

LEARNING OUTCOMES:

Upon successful completion of the course a student will be able to:

·       Value fixed income securities
.       Derive the spot and forward yield curve
.       Measure and manage interest rate risk
.       Understand the mechanics of structured products related to fixed income securities and their derivatives      

TEXTBOOK:
Book TitleAuthorPublisherISBN numberLibrary Call NumberComments
Fixed Income Securities: Tools for Today‚Äôs MarketsB. Tuckman and A. SerratWiley Finance9780470891698  Other editions of the textbook are also acceptable,
REQUIRED RESERVED READING:
NONE

RECOMMENDED RESERVED READING:
NONE
GRADING POLICY
-ASSESSMENT METHODS:
AssignmentGuidelinesWeight
Homework 20
Exam 1 20
Exam 2 20
Final ExamSince the final exam is comprehensive, if the final exam grade is higher than the partial exam grade(s), the final exam grade will replace the partial exam grade(s) in the calculation of the final grade for the course.40

-ASSESSMENT CRITERIA:
AWork of this quality directly addresses the question or problem raised and provides a coherent argument displaying an extensive knowledge of relevant information or content. The student demonstrates complete, accurate, and critical knowledge of all the topics, and is able to solve problems autonomously.
BThis is highly competent level of performance and directly addresses the question or problem raised. There is a demonstration of some ability to critically evaluate theory and concepts and relate them to practice. The work does not suffer from any major errors or omissions and provides evidence that the student uses clear logic in his/her arguments.
CThis is an acceptable level of performance and provides answers that are clear but limited, reflecting the information offered in the lectures. Mathematical statements are properly written most of the time.
DThis level of performances demonstrates that the student lacks a coherent grasp of the material. Important information is omitted and irrelevant points included. Many mistakes are made in solving the problem raised. In effect, the student has barely done enough to persuade the instructor that s/he should not fail.
FThis work fails to show any knowledge or understanding of the subject-matter. Most of the material in the answer is irrelevant.

-ATTENDANCE REQUIREMENTS:

Students are required to attend classes following the University’s policies.

ACADEMIC HONESTY
As stated in the university catalog, any student who commits an act of academic dishonesty will receive a failing grade on the work in which the dishonesty occurred. In addition, acts of academic dishonesty, irrespective of the weight of the assignment, may result in the student receiving a failing grade in the course. Instances of academic dishonesty will be reported to the Dean of Academic Affairs. A student who is reported twice for academic dishonesty is subject to summary dismissal from the University. In such a case, the Academic Council will then make a recommendation to the President, who will make the final decision.
STUDENTS WITH LEARNING OR OTHER DISABILITIES
John Cabot University does not discriminate on the basis of disability or handicap. Students with approved accommodations must inform their professors at the beginning of the term. Please see the website for the complete policy.

SCHEDULE

SessionSession FocusReading AssignmentOther AssignmentMeeting Place/Exam Dates
Weeks 1 and 2Prices, Discount Factors and Arbitrage   
Weeks 3 and 4Spot, Forward, and Par Rates   
Weeks 5 and 6Returns, Spreads and Yields   
Weeks 7 and 8Measures of Interest Rate Risk and Hedging  Exam 1 (date announced on the first day of class)
Weeks 9 and 10Multi-Factor Risk Metrics and Hedges: Forward-Bucket '01s   
Week 11Empirical Approaches to Risk Metrics and Hedging   
Week 12The Term Structure of Interest Rates  Exam 2 (date announced on the first day of class)
Weeks 13 and 14Corporate Bonds and Credit Default Swaps  Final Exam (Comprehensive): see University schedule for date and time