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.
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.
- 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