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シラバス詳細照会

シラバス詳細照会

  • 講義要項やWebシラバスの記載内容は、登録された受講生の人数や理解度に応じて、授業開始後に変更となる可能性があります。

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授業情報

開講年度 2017年度 開講箇所 大学院経営管理研究科
科目名
Fixed Income Investments

担当教員 四塚 利樹
学期曜日時限 冬クォーター  金3-4
科目区分 必修コア科目 配当年次 1年以上 単位数 2
使用教室 26-502 キャンパス 早稲田
科目キー 5700200007 科目クラスコード 01
授業で使用する言語 英語
  コース・コード ECNA621L
大分野名称 経済学
中分野名称 応用経済学
小分野名称 金融論・ファイナンス
レベル 修士レベル 授業形態 講義

シラバス情報

最終更新日時:2017/02/23 22:08:34

授業概要

This course focuses on the analysis and applications of fixed income securities, such as bonds and interest rate derivatives. The concepts and tools developed in the course are essential for anyone who wants to make effective use of fixed income markets for the purpose of financing, investment or risk management.

The types of securities covered in class include fixed-coupon bonds, floating-rate notes, interest rate swaps, futures and options, callable bonds and mortgage-backed securities (MBS). Analytical topics, such as yield curve construction, yield factor analysis, bond duration, mortgage calculation and credit risk valuation, are discussed in conjunction with actual data from US and Japanese fixed income markets. The course assumes basic knowledge of elementary calculus and statistics.

授業の到達目標 The primary objective of this course is to provide students with a solid background in fixed income securities. At the end of the course, students will be (i) familiar with the basic concepts of fixed income securities, such as yields, duration and convexity; (ii) capable of applying analytical techniques to extract useful information (such as spot, forward and par rates) from bond price data; (iii) comfortable with the use of basic term structure models and risk-neutral probabilities for derivatives pricing; (iv) able to understand the pricing of a wide array of fixed income securities, such as zero-coupon bonds, fixed-coupon bonds, floating-rate notes, interest rate swaps, bond futures and options, callable bonds, MBS, and bonds with credit risk; and (v) thus sufficiently equipped to understand the interest rate risks of typical bond portfolios.
授業計画
1:
Lecture 1
Introduction to Fixed Income Markets
2:
Lecture 2
Discount Factors and Spot Rates
3:
Lecture 3
Forward Rates, Yields to Maturity, and Other Yield Concepts
4:
Lecture 4
Yield Curve Fitting and Empirical Analysis of Yield Curve Movements
5:
Lecture 5
Bond Price Sensitivity and Interest Rate Risk Management (1) - Duration Analysis
6:
Lecture 6
Bond Price Sensitivity and Interest Rate Risk Management (2) - Convexity Analysis
7:
Lecture 7
Term Sturucture Models (1)
8:
Lecture 8
Term Sturucture Models (2)
9:
Lecture 9
Forward Contracts and Bond Futures
10:
Lecture 10
Interest Rate Swaps and Floating Rate Notes
11:
Lecture 11
Bond Options and Callable Bonds
12:
Lecture 12
Mortgage-Backed Securities
13:
Lecture 13
Corporate Bonds and Credit Risk (1)
14:
Lecture 14
Corporate Bonds and Credit Risk (2)
15:
Lecture 15
Final Examination and Review
教科書 Bruce Tuckman and Angel Serrat, Fixed Income Securities - Tools for Today's Markets, Third Edition, John Wiley & Sons, 2012.
参考文献 Pietro Veronesi, Fixed Income Securities - Valuation, Risk, and Risk Management, John Wiley & Sons, 2010.
成績評価方法 Final Examination: 85%; Problem Sets (given 3 times): 15%.
備考・関連URL Basic knowledge of elementary calculus and statistics is assumed.
■Class Attendance Regulations

(1)If you are absent more than six class sessions, you will receive a fail(F) grade for the course.
(2)If you are absent more than four class sessions, you are not eligible to get the grade of A+.
(3)If you are late for class or leave early(*1) from class two times, it will be counted as one absence. 

Attendance will not be checked on the first week of classes and make up classes.


■The Regulations for Examinations

1) A written exam will be held on the class day of week 15 (last class of each course) .
2) Students who miss a written exam will receive a fail(F)  grade.


◎*1 The definition of the Latecomer and Early leaver
 (1) As a rule, a student is treated as latecomer or early leaver if not present at the start and end of class, respectively.
 (2) If a student shows up the classroom within 30 minutes after the class starts, he/she is treated as a latecomer
 (3) If a students shows up the classroom after 30 minutes after the class starts, he/she is treated as an absence of the class
 (4) If a student leaves from the classroom within 30 minutes before the class ends, he/she is treated as an early leaver
 (5) If a student leaves from the classroom more than  30 minutes before the class ends, he/she is treated as an absence of the class
 (6) If a student is late for a class and leaves early from the class at the same class, he/she is treated as an absence
 (7) Leaving the classroom in the middle of class without the teacher’s permission counts as an absence. 

Except for when the university specifies otherwise, as a rule, no exceptions will be made regarding absence, coming late, or leaving early (e.g., the student will not be exempt even in cases of work, train delays caused by accidents, personal injury, or illness that is not notifiable/unpredicted).

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