Interest Rate Security Valuation
Course Level Postgraduate
Area/Catalogue
BANK 5034
Course Level
Postgraduate
Offered Externally
Yes
Note: This offering may or may not be scheduled in every study period. Please refer to the timetable for further details.
Course ID
156002
Unit Value
4.5
University-wide elective course
No
Course owner
School of Commerce
Course aim
The aim of this course is to undertake a rigorous study of fixed income securities, the bonds markets and related products. At the completion of the course, students will know how to manage interest rate risk, how to value securities with cash flows that are sensitive to movements in interest rates, and how to determine the optimal exercise policy for a variety of embedded options in fixed income securities. Students will be able to understand the return and risk of fixed income products, so as to better make investment decisions and manage risk.
Course content
Interest rate theory in discounting and the time value of money
Fixed-income products and market practices
Yield, duration and convexity
Bond portfolio management techniques (immunisation, duration matching)
The term structure of interest rates
Short-term interest rate modelling
Mortgage-backed securities; bonds with embedded options
Pricing interest rate derivatives (caps, floors, collars, swaps)
Textbook(s)
Veronesi, P 2010, Fixed income securities: valuation, risk and risk management, Wiley, New Jersey
Prerequisite(s)
| Common to all relevant programs | |
|---|---|
| Subject Area & Catalogue Number | Course Name |
| BANK 5014 | Financial Theory and Financial Markets |
| BUSS 5233 | Corporate Finance |
| Specific program | ||
|---|---|---|
| Program | Subject Area & Catalogue Number | Course Name |
| DMMA | BUSS 5249 | Managerial Finance |
| DMMA | BANK 5014 | Financial Theory and Financial Markets |
Corequisite(s)
Nil
Teaching method
| Component | Duration | ||
|---|---|---|---|
| INTERNAL, CITY WEST | |||
| Seminar | 3 hours x 10 weeks | ||
| EXTERNAL, CITY WEST, ONLINE | |||
| External | N/A x 10 weeks | ||
Note: These components may or may not be scheduled in every study period. Please refer to the timetable for further details.
Assessment
Assignment, Examination, Group Project and Presentation
Fees
EFTSL*: 0.125
Commonwealth Supported program (Band 3)
To determine the fee for this course as part of a Commonwealth Supported program, go to:
How to determine your Commonwealth Supported course fee. (Opens new window)
Fee-paying program for domestic and international students
International students and students undertaking this course as part of a postgraduate fee paying program must refer to the relevant program home page to determine the cost for undertaking this course.
Non-award enrolment
Non-award tuition fees are set by the university. To determine the cost of this course, go to:
How to determine the relevant non award tuition fee. (Opens new window)
Not all courses are available on all of the above bases, and students must check to ensure that they are permitted to enrol in a particular course.
* Equivalent Full Time Study Load. Please note: all EFTSL values are published and calculated at ten decimal places. Values are displayed to three decimal places for ease of interpretation.
Course Coordinators
Dr Andy Guanghua Lian
Degrees this course is offered in
