Advanced analysis of debt instruments 2600-MSFRdz1rkdiZAID
1. Features of debt instruments. Analysis according to criterion of:
coupon
issuer risk
type of guarantee
innovations on debt instruments market
2. Markets for debt instruments
primary market
secondary market
trading platforms
international bond market
bond indices
benchmarks and conversion coefficients
3. Bond price and yield
calculation of bond price for different coupons
standard bond yield (YTM)
clean price, nominal price, price with coupon
4. Risk of investment in debt instruments
interest rate risk
credit risk
political risk
currency risk
liquidity risk
measures of risk of investment in debt instruments
5. Level and structure of spot interest rates
yield curve and its factors
prima rate
conditions of an inversed yield curve development
credit spread
fragility of interest rates to external factors
6. Theories and models of interest rate structure development
expectations theory
liquidity preference theory
market segmentation theory
7. Standard bonds analysis
relation price/return
average maturity term
bond repayment period (duration)
fragility of bonds to reference interest rates changes
convexity
8. Analysis of bonds with additional rights
bonds with option
bonds convertible to stocks
revenue bonds
9. Bonds in public debt
maturity differentiation premises
issuance procedure
credit risk of municipal and foreign bonds
10. Credit risk analysis for debt instruments
bonds rating (investment and speculative level)
rating agencies
calculation of investment risk evaluation ratios
11. Hedging investment in bonds
credit derivatives (Credit Default Swap, Credit Linked Notes, Total Return Swap)
Type of course
Mode
Learning outcomes
Student after completing the course:
In terms of knowledge:
Knows and understands in-depth research methodology and terminology in the field of management and quality science and in complementary disciplines (economics and finance, legal sciences), in particular in the area of financial management and accounting (K_W01)
Knows and understands in-depth the principles, procedures and practices regarding financial management in organizations, accounting, management of financial institutions and strategies of financial institutions (K_W02)
Knows and understands in-depth economic theories and models regarding the functioning of organizations and the entire economy (K_W03)
Knows and understands in-depth legal regulations regarding the functioning of the organization and the entire economy (K_W04)
Knows and understands complex technological, social, political, legal, economic and ecological processes and phenomena and their impact on financial decisions in organizations, the functioning of the organization and the entire economy, including the principles of protection of industrial property and copyright (K_W05)
Knows and understands the principles of creating and developing various forms of entrepreneurship in the national and global dimensions (K_W06)
In terms of skills:
Is able to use the theory of the discipline of management and quality science and complementary sciences (economics and finance, legal sciences) to recognize, diagnose and solve problems related to financial decisions in organizations and management of financial institutions, using the appropriate selection of sources and adapting existing or developing new methods ( K_U01)
Is able to correctly interpret complex technological, social, political, legal, economic and ecological processes and phenomena and their impact on financial decisions in organizations, the functioning of the organization and the entire economy, using the appropriate selection of sources (K_U02)
Is able to independently and collectively prepare analyses, diagnoses and reports on complex and unusual problems related to financial management in organizations, accounting, management of financial institutions and strategies of financial institutions, and present them communicatively, also in English - using IT and communication tools (K_U03)
In terms of attitudes:
Is ready to assess and critically approach complex situations and phenomena related to financial management in organizations, accounting, management of financial institutions and strategists of financial institutions (K_K01)
Is ready to think and act in an entrepreneurial way in the national and global dimensions (K_K02)
Is ready to comply with and develop professional ethical standards (K_K02).
Assessment criteria
Written exam (open and closed questions) and project (individually and in groups).
Bibliography
Basic literature:
F. Fabozzi – „Rynki obligacji: analiza i strategie”, WIG PRESS 2000
Supplementary literature:
F.K. Reilly, K.C. Brown – „Analiza inwestycji i zarządzanie portfelem T1 i T2”, PWE 2001
Borowski K. 2014, Miary ryzyka na rynku akcji i obligacji, Wydawnictwo Difin, 2014.
F. Fabozzi The Handbook of Fixed Income Securities, McGraw-Hill, 2012.
Additional information
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: