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Fixed Income Markets (MSB365)

Fixed income securities constitute a major asset class in international financial markets. Monetary policy and price discovery in fixed income markets determine their prices and therefore the shape of the yield curve. Understanding the factors that influence the yield curve is of importance to all economic agents. In this course you will learn about the basic instruments in fixed income markets and how they are traded.


Course description for study year 2022-2023

Facts
Course code

MSB365

Version

1

Credits (ECTS)

5

Semester tution start

Autumn

Number of semesters

1

Exam semester

Autumn

Language of instruction

English

Content

This course gives you an overview of fixed income markets and includes

• An introduction to government bonds, corporate bonds, green bonds

• The yield curve and the term structure of interest rates

• Interest rate risk and duration

• Credit risk and rating agencies

• Liquidity risk and trading in secondary bond markets

  • The repo market and reference rates

• Derivatives including interest rate swaps

Learning outcome

Upon completion of the course, students will have acquired knowledge of

  • the features of major bond markets
  • the relationship between monetary policy and debt markets
  • the importance of repo markets

Upon completion of the course, students will have acquired the skills to

  • calculate the price and interest rate risk of fixed income securities
  • calculate implied forward rates
  • perform empirical bond analysis in R
Required prerequisite knowledge
None
Exam

Hand-in in group and written exam

Form of assessment Weight Duration Marks Aid
Hand-in in group 2/10 1 Weeks Letter grades
Written exam 8/10 3 Hours Letter grades Valid calculator

Course teacher(s)
Course coordinator: Siri Valseth
Study Program Director: Yuko Onozaka
Method of work

Lectures/video lectures: 25 hours

Group work/mandatory paper: 45 hours

Self-study: 80 hours

Open for
Master in Accounting and Auditing Business Administration - Master of Science Business Administration - Master of Science (5 years)
Course assessment
Students will have the opportunity to give feedback on the course first in an early dialogue, and then in a written course evaluation at the end of the course.
Literature
The syllabus can be found in Leganto