CORPFIN 7040 - Fixed Income Securities (M)
North Terrace Campus - Semester 1 - 2023
General Course Information
Course Code CORPFIN 7040 Course Fixed Income Securities (M) Coordinating Unit Finance and Banking Term Semester 1 Level Postgraduate Coursework Location/s North Terrace Campus Units 3 Contact Up to 3 hours per week Available for Study Abroad and Exchange Y Prerequisites CORPFIN 7005, CORPFIN 7033, ECON 7200 Course Description This course examines the valuation of fixed-income securities, the market operations and management of risk. Topics include: valuation of bonds, term structure of interest rate, measuring and managing interest rate risk, corporate bond market, passive and active bond portfolio management, performance measurement, securitisation and interest rate derivatives.
Course Coordinator: Md Abdul Wasi
The full timetable of all activities for this course can be accessed from Course Planner.
Course Learning OutcomesOn successful completion of this course, students will be able to:
1. Identify the different types of fixed income securities and their characteristics
2. Value fixed income securities
3. Derive spot yield curve
4. Measure and manage interest rate and credit risk
5. Know passive and active fixed income portfolio management techniques
6. Know the principles of securitisation.
University Graduate Attributes
This course will provide students with an opportunity to develop the Graduate Attribute(s) specified below:
University Graduate Attribute Course Learning Outcome(s)
Attribute 1: Deep discipline knowledge and intellectual breadth
Graduates have comprehensive knowledge and understanding of their subject area, the ability to engage with different traditions of thought, and the ability to apply their knowledge in practice including in multi-disciplinary or multi-professional contexts.
1 - 6
Attribute 2: Creative and critical thinking, and problem solving
Graduates are effective problems-solvers, able to apply critical, creative and evidence-based thinking to conceive innovative responses to future challenges.
2 - 4
Attribute 3: Teamwork and communication skills
Graduates convey ideas and information effectively to a range of audiences for a variety of purposes and contribute in a positive and collaborative manner to achieving common goals.
2 - 4
Attribute 5: Intercultural and ethical competency
Graduates are responsible and effective global citizens whose personal values and practices are consistent with their roles as responsible members of society.
Fabozzi, F. J. and Fabozzi, F. A. (2021, 10e). Bond markets, analysis, and Strategies. Cambridge, MA: The MIT Press. (Reading list: F)
Recommended ResourcesMartellini, Lionel, Philippe Priaulet and Stephane Priaulet, (2003) “Fixed Income Securities: Valuation, Risk Management and Portfolio Strategies”, John Wiley. (Reading list: MPP)
For students who want to do the CFA (Chatered Financial Analyst) Exam, the following books are useful:
1. Fabozzi, Frank, (2ed) "Fixed Income Analysis for the Chatered Financial Analyst Program", Frank J. Fabozzi Associates, New Hope, Pennsylvania. (Reading list: FF1)
2. Fabozzi, Frank, "Fixed Income Readings for the Chatered Financial Analyst Program", Frank J. Fabozzi Associates, New Hope, Pennsylvania. (Reading list: FF2)
Online LearningThe course website: www.myuni.adelaide.edu.au will contain all lecture notes, tutorial problem sets and solutions and other relevant announcements.
Learning & Teaching Activities
Learning & Teaching ModesIn this subject the method of teaching will be material taught in lectures supported by tutorials based on problem solving.
The information below is provided as a guide to assist students in engaging appropriately with the course requirements.The University expects full-time students (i.e. those taking 12 units per semester) to devote a total of 48 hours per week to their studies. This means that you are expected to commit approximately 9 hours for a three-unit course or 13 hours for a four-unit course, of private study outside of your regular classes.
Students in this course are expected to attend all lectures throughout the semester plus one tutorial class each week.
Learning Activities Summary
Introduction and Bond Prices
MPP Ch1-2; FF1 Ch I/ 1-6
Yields and the Spot Rate Curve
F Ch 3;
MPP Ch3-4; FF1 Ch II/ 1
Forward Rates and the Term Structure of Interest Rates
F Ch 6;
MPP Ch5; FF1 Ch I/ 7
Measuring Interest Rate Risk
F Ch 4
Managing Interest Rate Risk – Part 1
F Ch 24;
MPP Ch5; FF1 Ch I/ 7;
FF2 Ch 3
Managing Interest Rate Risk – Part 2
F Ch 22 & 24; MPP Ch 6; FF1 Ch 1/ 7
Active Fixed Income Portfolio Management
MPP Ch 8
Passive Fixed Income Portfolio Management
MPP Ch 8
F Ch 24;
MPP Ch 7; FF2 Ch 49Passive Fixed Income Management +
Securitization + Revision ClassF Ch 24; MPP Ch 7; FF2 Ch 4
F Ch 10-15;
MPP Ch 17-18; FF1 Ch II/ 3-5
*NOTE: MORE SPECIFIC DETAILS OF THE RELEVANT PAGES FROM THE FABOZZI AND MARTELLINI BOOKS ARE GIVEN IN THE TABLE BELOW:
1 F Ch 1-3 (P1-12, 14-28, 34-55) 9th Edition
F Ch 1-3 (P11-21, 24-38, 44-65) 8th Edition
F Ch1-3 (P1-10, P16-29 & P36-55) 7th Edition
F Ch1-3 (P1-9, P13-29 & P35-55) 6th Edition
MPP Ch1-2 (P3-22 & P41-53)
2 F Ch 3 (P34-55) 9th Edition
F Ch 3 (P44-65) 8th Edition
F Ch 3 (P36-55) 7th Edition
F Ch 3 (P35-55) 6th Edition
MPP Ch3-4 (P69-89 & P97-103)
3 F Ch 5 (P99-119) 9th Edition
F Ch 5 (P109-127) 8th Edition
F Ch 5 (P109-119) 7th Edition
F Ch 5 (P101-122) 6th Edition
MPP Ch5 (P163-175)
4 F Ch 4 (P 58- 84) 9th Edition
F Ch 4 (P 68- 94) 8th Edition
F Ch 4 (P60-83) 7th Edition
F Ch 4 (P59-85) 6th Edition
5 F Ch 27 (P 607- 623) 9th Edition
F Ch 24 (P 541- 567) 8th Edition
F Ch 24 (P557-563) 7th Edition
F Ch 24 (P561-587) 6th Edition
MPP Ch5 (P163-175)
6 F Ch 24 (P 523- 534) 9th Edition
F Ch 22 (P 483- 494) 8th Edition
MPP Ch 6 (P182-188)
7 F Ch 23 (P514-543) 7th Edition
F Ch 23 (P551-558) 6th Edition
MPP Ch 8 (P233-276)
8 F Ch 27 (P 607- 623) 9th Edition
F Ch 24 (P 541- 567) 8th Edition
F Ch 24 (P555-564) 7th Edition
F Ch 24 (P561-587) 6th Edition
MPP Ch 7 (P213-222)
9 F Ch 10-15 (P209- 221, 223- 244, 248- 285, 304- 311, 317- 327) 9th Edition
F Ch 10-15 (P223- 235, 237- 264, 269- 306, 325- 333, 340- 350) 8th Edition
F Ch 10-15 (P229-237, P239-244, P252-271, P276-296, P308-309, P314-319, P333-340 & P378-379) 7th Edition
F Ch 10-15 (P227-232, P245-269, P274-300, P305-315, P329-340) 6th Edition
MPP Ch 17-18 (P593-603 & P607-612)
The University's policy on Assessment for Coursework Programs is based on the following four principles:
- Assessment must encourage and reinforce learning.
- Assessment must enable robust and fair judgements about student performance.
- Assessment practices must be fair and equitable to students and give them the opportunity to demonstrate what they have learned.
- Assessment must maintain academic standards.
Assessment Task Due Weighting Learning Outcome Mid Semester Test
(Date to be confirmed)
25% 1,2,3 Embedded Research Assignment Week 12
(Date to be confirmed)
25% 1,2,4,5 Final Exam Date to be announced later by Exams Office 50% 1,2,3,4,5,6 Total 100%
Assessment DetailThe assessment components are as follows:Mid semester test: 25%Details: Mid semester test will be held during Week 5 with the date to be confirmed early in semester. The quiz will be held online. The syllabus and other information regarding the test will be discussed in the class.Learning Outcome: 1, 2, 3
Embedded Research Project: 25%Details: The embedded research project may be attempted in groups of up to 4 students.Due Date: The embedded research project will be posted on MyUni in the middle of the semester. More details will be provided when the assignment question is released. No extensions will be allowed unless the lecturer has given prior approval. Extensions will only be granted under exceptional circumstances.Learning Outcome: 1, 2, 4, 5
Final Exam: 50%
There will be a 3 hour online exam. A sample exam will be provided closer to the date of the exam
Learning Outcome: 1 - 6
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Assignment Guidelines including Referencing Details
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In preparing any written piece of assessment for your postgraduate studies it is important to draw on the relevant ‘literature’ to support critical analysis. Also essential is to reference the literature used. Correct referencing is important because it identifies the source of the ideas and arguments that you present, and sometimes the source of the actual words you use, and helps to avoid the problem of plagiarism. (Further information on plagiarism is provided later in this course outline.)
The Harvard system is widely used in the Business School. Guidelines for the use of this style of referencing can be found in the Communication Skills Guide.
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Students are expected to submit their work by the due date to maintain a fair and equitable system. Extensions will generally only be given for medical or other serious reasons. All requests for extensions must be emailed to the lecturer in charge of the course before the due date. Each request will be assessed on its merits. A late assignment (without prior arrangement) will be penalised by a 5% mark reduction for each day that it is late.
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Grades for your performance in this course will be awarded in accordance with the following scheme:
M10 (Coursework Mark Scheme) Grade Mark Description FNS Fail No Submission F 1-49 Fail P 50-64 Pass C 65-74 Credit D 75-84 Distinction HD 85-100 High Distinction CN Continuing NFE No Formal Examination RP Result Pending
Further details of the grades/results can be obtained from Examinations.
Grade Descriptors are available which provide a general guide to the standard of work that is expected at each grade level. More information at Assessment for Coursework Programs.
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