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JOHN CABOT UNIVERSITY
COURSE CODE: "FIN 350"
COURSE NAME: "Fixed Income Analysis"
SEMESTER & YEAR:
Fall 2022
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SYLLABUS
INSTRUCTOR:
Crina Pungulescu
EMAIL: [email protected]
HOURS:
TTH 1:30 PM 2:45 PM
TOTAL NO. OF CONTACT HOURS:
45
CREDITS:
3
PREREQUISITES:
Prerequisite: FIN 301
OFFICE HOURS:
by appointment
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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.
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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
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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
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TEXTBOOK:
| Book Title | Author | Publisher | ISBN number | Library Call Number | Comments | Format | Local Bookstore | Online Purchase |
| Fixed Income Securities: Tools for Today’s Markets | B. Tuckman and A. Serrat | Wiley Finance | 9780470904039 | | Other editions of the textbook are also acceptable. | | | |
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REQUIRED RESERVED READING:
RECOMMENDED RESERVED READING:
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GRADING POLICY
-ASSESSMENT METHODS:
| Assignment | Guidelines | Weight |
| Homework | | 20 |
| Exam 1 | | 20 |
| Exam 2 | | 20 |
| Final Exam | Since 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.
Classes are simultaneously streamed via MS Teams and the materials covered (including a video narration) are posted
on Moodle after each class. Students may choose to attend classes in person on campus or remotely via MS Teams.
Students must attend all exams in person on campus (unless otherwise required by the University at the time of the
exam). Students with a justified need to attend any exam remotely may do so only if express permission has been
obtained from the Dean’s Office prior to the exam.
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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.
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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.
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SCHEDULE
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| Session | Session Focus | Reading Assignment | Other Assignment | Meeting Place/Exam Dates |
| Weeks 1 and 2 | Prices, Discount Factors and Arbitrage | | | |
| Weeks 3 and 4 | Spot, Forward, and Par Rates | | | |
| Weeks 5 and 6 | Returns, Spreads and Yields | | | |
| Weeks 7 and 8 | Measures of Interest Rate Risk and Hedging | |
| Exam 1 (date announced on the first day of class) |
| Weeks 9 and 10 | Multi-Factor Risk Metrics and Hedges: Forward-Bucket '01s | | | |
| Week 11 | Empirical Approaches to Risk Metrics and Hedging | | | |
| Week 12 | The Term Structure of Interest Rates | | | Exam 2 (date announced on the first day of class) |
| Weeks 13 and 14 | Corporate Bonds and Credit Default Swaps | | | Final Exam (Comprehensive): see University schedule for date and time |
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