BMA5308—Fixed Income Securities
Instructor: Email: Telephone:
Prof. Robert L. Kimmel
[email protected] +65 6516 5552
Term: Office: Office Hours:
Semester 2, AY 2012–2013 Mochtar Riady Building #7-62 To Be Announced
Note—This course description is current as of July 29, 2012. It is preliminary, and subject to revision.
Course Description This course covers modern fixed income securities and markets. Three major themes will be covered. (I) Institutional details of the fixed income markets such as price yield conventions, central bank actions, repo agreements, and auctions of treasury securities. (II) Analytics of the fixed income markets such as hedging interest rate risk using immunization, models of the term structure and modelling of credit risk. (III) Specific fixed income securities such as mortgage backed securities, and fixed income derivatives such as inflation indexed bonds, fed funds futures, Eurodollar futures, interest rate swaps and credit default swaps. The topics will not necessarily be covered in this order.
Prerequisites BMA5008, Financial Management is required.
Required materials Course notes will be posted on IVLE. You should download the notes prior to the lecture.
Course Description—BMA5308
1
July 29, 2012
National University of Singapore Business School Department of Finance
BMA5308—Fixed Income Securities Semester 2, AY 2012–2013 Prof. Robert L. Kimmel
Required text Selection of a textbook is in process. In the past, Fixed Income Markets and their Derivatives, by Suresh Sundaresan (Elsevier/Academic Press: ISBN: 978-0-12-370471-9), has been used, but it is a possible a different book will be used for this academic year.
Grading The course requirements are under review. In AY 2011–2012, the course grade was based on the following components, but this may change for AY 2012–2013.
(i) Assignments: 20%—Assignments may be in the form of home work problems, cases or projects. You may work on these assignments in groups of up to four students. Assignments are generally to be submitted via IVLE unless explicitly stated otherwise. No extra credit will be given for individuals or smaller groups. Assessment may be based on written and oral presentations, as well as class participation of the group at the time of discussion of the case. (ii) In class test: 25%—There will be one in class test during instructional week seven. (iii) Final project: 15%—A final project involves pricing a particular fixed income security. Grading will be based on presentation as well as final report. The tentative date for presentation is during instructional week twelve. The final report is to be submitted by instructional week thirteen. (iv) Final Exam: 40%—The final exam will be comprehensive, based on the entire material covered in class. The date of final exam will be determined by the Registrar’s Office.
Policy for group work All members in a group will receive the same grade for the given case or assignment. There is no requirement that you remain in the same group throughout the course, i.e., your group may consist of different members for different assignments or case studies. Each group should submit a single copy of the work, containing the names of all group members. Any disputes within a group must be resolved by the group members themselves.
Consultation Hours Office hours will be announced.
Course Description—BMA5308
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July 29, 2012
National University of Singapore Business School Department of Finance
BMA5308—Fixed Income Securities Semester 2, AY 2012–2013 Prof. Robert L. Kimmel
Other items Attendance Although there is a textbook and some notes are also provided, it is still important to attend lectures, since the discussion will not necessarily follow the textbook or notes closely. Students should attend all class sessions, except under the following circumstances.
(i) Sickness or injury (ii) Family bereavement (iii) Job interview (iv) Representing NUS in national or international competitions (v) Any other reasons not covered above will be decided on a case by case basis.
Excess absence not for the above reasons may result in a grade penalty.
Late submission of assignments and missed in-class test policy Because solutions to assignments will sometimes be provided, it is not possible to accept late assignments, unless absence is due to one of the circumstances described above. (In this case, the instructor should be notified in advance if at all possible.) In case the solution to the given test or homework has been discussed in class, instructor will provide either provide a make up test or assignment or add the credit to another component of the grade depending on the particular situation.
Acknowledgements The course description and contents are based heavily on a previous version of the course offered by Prof. Anand Srinivasan of the NUS Business School Departmet of Finance.
Course Description—BMA5308
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July 29, 2012
