Module code: AFE7018-A
Fixed Income Securities and Credit Risk develops a critical understanding of fixed income securities, the organizational structure of bond markets and the way in which securitisation creates contagion concerns. The course will consider in detail the way that the economic environment influences interest rates
Overview of fixed income markets and securities;
- Term structure and volatility of interest rates
- Bonds with embedded options;
-Structured Securities: Mortgage and asset-backed securities, sectors and valuation;
-Fixed Income Derivatives;
-Systematic Risk and Contagion
-Pricing Risk
-Bond Portfolio Management
-Strategies and Performance Measurement: Indexing, Liability
-Systematic risk and contagion
-Securitisation and risk