FIN 601: Bond Markets

This course provides an extensive coverage of bond markets. It discusses the characteristics of various types of bonds, their valuation, and the risk associated with bond investments. It further discusses bond portfolio management strategies.

Learning outcomes
After this course students are familiar with the theory and practice of bond market investments. They are acquainted with the valuation of various types of bonds, know tools to measure and manage the risk of bond portfolios and are able to devise and evaluate portfolio management strategies.

Necessary prerequisites

Recommended prerequisites
Students should have attended FIN 500 or be ready to acquire knowledge of the contents of that course as needed.

Contact hoursIndependent study time
Lecture2 SWS9 SWS
Exercise class1 SWS5 SWS
Form of assessmentWritten exam (closed book, 60 min.)
Restricted Admissionno
Further information
Performing lecturer
Prof. Dr. Erik Theissen
Prof. Dr. Erik Theissen
OfferingSpring semester
Duration of module 1 semester
Range of applicationM.Sc. MMM, M.Sc. WiPäd, M.Sc. VWL, M.Sc. Wirt. Inf., M.Sc. Wirt. Math., MAKUWI
Preliminary course work
Program-specific Competency GoalsCG 1
Graded yes
LiteratureBodie, Z., A. Kane and A. Marcus (2021): Investments and Portfolio Management, 12th edition, McGraw Hill, chapters 14–16
Fabozzi, F. (2016): Bond Markets, Analysis and Strategies, 9th edition, Pearson. (10th edition announced for Dec. 2021)
Sundaresan, S. (2009): Fixed Income Markets and their Derivatives, 3rd edition, Academic Press. (no new edition available as of February 2021)
Veronesi, P. (2010): Fixed Income Securities, Wiley. (no new edition available as of February 2021)
Course outlineFixed Income Markets: Overview (Bond Types, Market Segments, Primary Markets, Secondary Markets)
Pricing Bonds (Valuation at and Between Coupon Dates, Yield to Maturity, Floating Rate Bonds)
The Term Structure of Interest Rates (Theories of the Term Structure, Estimating the Term Structure)
Measuring and Managing Interest Rate Risk (Duration, Convexity, Immunization, Key Rate Duration)
Valuation of Callable Bonds, Warrants, and Convertible Bonds
Default Risk (Basics, Rating, Expected Default Frequency, CreditMetrics, Credit Derivatives)
Topics in Bond Portfolio Management