Introduction to Fixed-Income

Professor: Alexandre PIAZZA, Director of Investments, Groupama AM

Objective: The aim of the course is to introduce the students to fixed income and credit markets. We recall the basis of interest rate markets, the technical structure of a bond, its sensitivity parameters, methods of pricing, different requirements and complexity, risk hedging techniques. We also provide students with an introduction to bond portfolio management choices.

Outline:

I - Interest rates

II - Bonds: technical definitions

III - Bonds: pricing

III - Bonds: sensitivity parameters

IV - Bonds: rating and seniority

V - Bonds: credit spreads

VI - Risk coverage: interest rate risk

VII - Risk coverage: spread risk

VIII - Trading and management: basic methods

Grading: Final exam at the end of the semester.

Bibliography:

• Choudry, M., Fixed Income Markets: Management, Trading and Hedging, Wiley
• Strumeyer, G., Wiley Investing in Fixed Income Securities
• Fabozzi, F. J., The Handbook of Fixed Income Securities, Wiley