信息详情

英文名:Fixed Income and Financial Institutions

学分/学时:2/32


一、课程的性质和任务

Fixed Income and Financial Institutionsis the core course for the finance program. This course focuses on the unique attributes of fixed -income securities, valuation and risk measurement of bonds and fundamentals of financial institutions. After finishing the course, the student should be able to describe fixed-income securities and their markets, yield measures, risk factors, valuation measures and calculate yields and values of fixed-income securities. Students should also be familiar with major financial institutions.


二、课程的基本要求

1. Describe basic features of a fixed-income security;

2. Describe how cash flows of fixed-income securities are structured;

3. Describe mechanisms available for issuing bonds in primary markets;

4. Describe types of debt issued by corporations;

5. Calculate a bond’s price given a market discount rate;

6. Describe and calculate the flat price, accrued interest, and the full price of a bond;

7. Define and compare the spot curve, yield curve on coupon bonds, par curve, and forward curve;

8. Calculate and interpret the sources of return from investing in a fixed-rate bond;

9. Define, calculate, and interpret Macaulay, modified, and effective durations;

10. Explain the four Cs (Capacity, Collateral, Covenants, and Character) of traditional credit analysis.


三、课程内容

(一)Fixed-Income Securities: Defining Elements

1.教学内容:Basic features include: the issuer of the bond, the maturity, par value, coupon rate and frequency, currency and legal and regulatory issues; Cash flow structure; Bond Market.

2.教学要求:Understand fundamentals of a fixed income security; describe how legal, regulatory, and tax considerations affect the issuance and trading of fixed-income securities; describe contingency provisions affecting the timing and/or nature of cash flows of fixed income securities and identify whether such provisions benefit the borrower or the lender.

3.重点、难点:Analyze bonds with embedded options.

4.教学建议:Use time line to introduce basic concepts.

(二)Fixed-Income Markets: Issuance, Trading, and Funding

1.教学内容:Classification of global fixed income markets, fixed-income indices; primary markets versus secondary markets; characteristics of different kinds of bonds.

2.教学要求:Describe classifications of global fixed-income markets; understand the difference between primary markets and secondary markets; describe various types of fixed income securities and their own characteristics.

3.重点、难点:Concepts of structured financial instruments.

4.教学建议:Illustrate fixed-income security evolvement.

(三)Introduction to Fixed-Income Valuation

1.教学内容:Bond valuation process, semiannual bond valuation process, yield curve.

2.教学要求:Understand how to use discounted cash flow model to value a bond’s price; identify the relationships among a bond’s price, coupon rate, maturity, and market discount rate (yield-to-maturity); compare, calculate, and interpret yield spread measures.

3.重点、难点:Measure accrued interest.

4.教学建议:Example illustration.

(四)Understanding Fixed-Income Risk and Return

1.教学内容:Three source of return: coupon and principal payments, reinvestment of coupon payments and capital gain or loss; Interest risks and reinvestment risks.

2.教学要求:Compute sours of return from investing in a fixed-rate bond; Know how to compute duration, portfolio duration, price value of a basis point.

3.重点、难点:Relationships among a bond’s holding period return, its duration, and the investment horizon;

4.教学建议:Example illustration.

(五)Fundamentals of Credit Analysis

1.教学内容:Fundamentals of credit risk, credit rating, the four Cs of credit analysis;credit risk by bond type.

2.教学要求:Describe credit risk and credit-related risks affecting corporate bonds; distinguish between corporate issuer credit ratings and issue credit ratings and describe the rating agency practice of “notching”; evaluate the credit quality of a corporate bond issuer and a bond of that issuer, given key financial ratios of the issuer and the industry.

3.重点、难点:Understand the concept of “notching”.

4.教学建议:Example illustration.

(六)Basics of Financial Institutions

1.教学内容:The role of financial systems, financial intermediaries, securities and markets,Issues in bank management,the global financial crisis.

2.教学要求:Student should be able to identify different types of financial institutions and their special characteristics understand the effect of financial crisis on various types of financial intermediaries.

3.重点、难点:Bank risk management.

4.教学建议:Case illustration.


四、本课程与其它课程关系

本课程的前继课程有:《CFA中级金融学》,《CFA商业数理统计分析基础》等。


五、学时分配

教   学   内   容

总学时

实验  实训  上机

习题课

讨论课

课程设计

(大作业)

1

Fixed-Income Securities: Defining Elements

4

2




2

Fixed-Income Markets: Issuance, Trading, and Funding

4

2




3

Introduction to Fixed-Income Valuation

10

5




4

Understanding Fixed-Income Risk and Return

6

3




5

Fundamentals of Credit Analysis

4

2




6

Basics of Financial Institutions

4

2




小            计

32

16




六、教材及参考书

教 材:

2019 CFA Program Curriculum Level I Volume 5;

SchweserNotes 2019 Level 1 CFA Book 5;

Mishkin, Frederic S. (2007). The Economics of Money, Banking, and Financial Markets, Eight Edition;

Tags: CFA固定收益与金融机构