Graduate Course: Fixed Income Securities & Portfolio Management, Study notes of Finance

Download Graduate Course: Fixed Income Securities & Portfolio Management and more Study notes Finance in PDF only on Docsity! FIXED INCOME SECURITIES This course represents a graduate level treatment of fixed-income securities and the tools used to analyze them. Four main components of the course material: • Fixed-income products – (U.S. Treasuries, agencies, corporates, MBS, ABS, floaters, money market instruments, international bonds, municipals, etc.) • Institutional features – (day count conventions, auctions, etc.) •Analytical tools – (yield measures, interest rate risk measures, yield curve analysis, valuation models, total return, OAS, volatility measures, etc.) 1 • Fixed-income portfolio management – (indexing, immunization, yield curve strategies, etc.) The fixed-income market is the largest capital market in the world – many times larger than the equity market. Fixed-income markets have changed dramatically in the last 20 years. Prior to the 1980s, fixed-income securities were relatively simple investment products. Ignoring default, the investor knew what the instrument’s cash flows were and when they would receive them. Most investors were “buy and hold.” 2