CFRM 558 Fixed Income Analytics and Portfolio Management

This required course in the MS CFRM program provides a solid foundation in fixed income analytics and portfolio management. Course will include some lectures on real-world fixed income applications by finance industry professional guest lecturers.  Computing exercises with R will be used throughout to re-enforce understanding of the theory and methods. Topics covered will include:

  • Fixed income instrument types including MBS’s and municipal bonds
  • Fixed income data sources, access and manipulation
  • Term structure of interest rates and yield curve construction
  • Interest rate risk management
  • Interest rate forwards, swaps, futures and options
  • Introduction to binomial tree pricing of interest rate derivatives
  • Case studies

Upon successful completion, students will have a firm understanding of fixed income markets, data and analytics, and be able to apply this knowledge to fixed income portfolio construction, performance analysis and risk management.  

 

Instructor: 
Steve Golbeck or Doug Martin
Textbooks: 
Veronesi, P. (2010). Fixed Income Securities: Valuation, Risk and Risk Management, Wiley. Tuckman, B. and Serrat, A. (2012) Fixed Income Securities: Tools for Today’s Markets, 3rd edition, Wiley.
Software: 
R and R packages for fixed income
Prerequisites: 
Good understanding of multivariable calculus, linear algebra, probability, and statistics at least at the level of CFRM 460 and CFRM 461.
Credits: 
4