Ects : 6

Enseignant responsable :

• CAROLE GRESSE

Volume horaire : 36

Description du contenu de l'enseignement :

This course aims at presenting the fundamental principles of fixed income investments. It starts with a description of debt securities, debt markets, and risks associated with investing in corporate and sovereign bonds. The course recalls the traditional valuation model of bonds and explains how to measure bond returns. It explains the relations between yields, spot interest rates, and forward rates, and presents the interest rate term structure. It studies the measurement of interest rate risk and the impact of credit risk on corporate bond valuation. The course also addresses the arbitrage-free valuation approach.

Pré-requis recommandés :

Fixed Income Mathematics at the bachelor level

Pré-requis obligatoires :

Mathématiques financières at the L3 level for students from the Dauphine "licence" in "Management et gestion des organisations"

Coefficient : 1

Compétence à acquérir :

At the end of this course, students should know: - how to price non-sophisticated fixed income securities with the traditional approach and the no-arbitrage approach, - which risks affect bond portfolios and how to appraise them, - how to measure interest rate risk with duration and convexity, - how to derive zero-coupon rates and forward rates from a yield curve, - the main theories explaining the interest rate term structure.

Mode de contrôle des connaissances :

Tutorial participation: 20% Final exam: 80%

Bibliographie, lectures recommandées

Fabozzi, Frank J., Fixed Income Analysis, 2nd edition, 2007, Wiley, CFA Institute Investment Series. or Petitt, Barbara S., Jerald E. Pinto, and Wendy L. Pirie, Fixed

Income Analysis, 3rd edition, 2015, Wiley, CFA Institute Investment Series.

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