Debt Instruments and Markets

This course analyzes debt instruments and their markets. The course begins with a survey of the various types of securities, their associated cash flow and risk characteristics. The term structure of interest rates as embodied by spot, coupon and forward yield curves are discussed within the context of traditional bond yield calculations and the price-yield relationship. The course then addresses risk management for floating rate notes and fixed rate notes using Libor-based derivatives such as interest rate swaps and Eurodollar futures. The course analyzes the impact of default risk on bond valuation and explores the application of credit derivatives in default risk control. The course also analyzes the use and complexities of Treasury futures and options. Interest rate and currency exposure management for international debt market investments is explored.

Fall, Spring, Summer

023083