MSF 732: Fixed Income Securities Master Syllabus
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Required Reading/Text
Securitization: Structuring and Investment Analysis 1st Edition
by Andrew Davidson (Author), Anthony Sanders (Author), Lan-Ling Wolff (Author), Anne Ching (Author)
Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies 1st Edition
by Lionel Martellini (Author), Philippe Priaulet (Author)
Course Description
A deep dive into the world of fixed-income securities, Treasuries, mortgages and MBS, munis and related.
Course Objectives
This course is designed to provide the student with a broad, basic foundation in the analysis of fixed- income securities. Students will be able to:
- Understand the economic environment globally, nationally and locally
- Define, discuss and interpret the fundamental concepts introduced in the course and understand the fixed-income market.
Student Requirements
The required TEXT will provide the basis for the major segments of the course.
Evaluation and Grading
| Class Participation | 20% |
| Class Project | 40% |
| Final Exam | 40% |
The final exam that will occur during the schedules final exam period will cover the entire semester.
Course Outline
Module
- Introduction to Fixed-income: Martinelli et al, Chapters 1, 2. Overheads 1 and 2
- The Yield Curve: Martinelli et al, Chapters 3,4
- Mortgages, MBS and ABS: Martinelli et al, Chapters 17, 18
- Mortgages, MBS, ABS (continued)
- Hedging Treasuries, MBS, DURATION: Martinelli et al, Chapters 5, 6
- Active Hedging: Martinelli et al, Chapters 7, 8, 9
- Securitization: Davidson and Sanders TBA
- Securitization: Davidson and Sanders TBA
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