Fixed Income Management
Volledige vakbeschrijvingTopics include: duration and convexity; yield curve, term structure and forward curve; fixed-income portfolio management, asset-backed securities, European Sovereign Debt Crisis.
Case study reports and presentations.
Fixed Income is a very important assert class. For example, roughly fifty percent of the investment portfolios of Dutch pension funds are composed of fixed income related instruments. Furthermore, the balance sheets of most banks consist of short- and long-term bonds. Consequently, interest rate fluctuations are extremely important for the well-being of firms, financial institutions, and the overall financial sector of most economies. This course provides the ingredients for effective and efficient fixed income management.
VoorwaardenCourses and workload are very demanding for all Financial Economics Master courses. Exchange students need to have obtained a Bachelor degree in economics or business administration. Exchange students need to major in finance in their Master. A sufficient interest in quantitative methods is essential.
An advanced level of English
Aanbevolen literatuurpackage of articles and cases.
Sundaresan, S. "Fixed Income Markets and Their Derivatives", Third Edition, 2009, Academic Press.