Bond Analysis and Valuation 2600-DIz1AWO
Course Topics:
• Sources of risk for debt instruments
• Analysis of the bond market (government, municipal, corporate, asset-backed, standard bonds)
• Price/yield relationship (average maturity of bonds)
• Bond duration and convexity; sensitivity analysis of bonds to interest rate changes
• Analysis of bonds with embedded options (types of options, exercise rules, bond valuation methods with options, callable and putable bonds, convertible bonds, effective duration, effective convexity, sensitivity analysis of option-embedded bonds to interest rate changes)
• Asset-backed securities (types of collateral, cash flow characteristics, mortgage-backed securities, other asset-backed securities, types of risks associated with asset-backed securities, valuation principles of asset-backed securities)
• Green bonds
Type of course
Course coordinators
Learning outcomes
Upon completion of the course, the student:
Knowledge
• Explains the basic sources of risk for debt instruments and terminology related to bond analysis and valuation (K_W01)
• Characterizes the principles, procedures, and practices of investment advisory in the area of debt instruments, including valuation methods and sensitivity analysis of bonds to interest rate changes (K_W02)
• Understands the impact of economic, legal, and environmental processes on the functioning of the bond market, including the role of green bonds in the economy and investment decisions (K_W05)
Skills
• Applies theoretical knowledge from economics and finance to the analysis and valuation of different types of bonds (K_U01)
• Analyzes and interprets the impact of interest rate changes and economic processes on bond valuation and investor decision-making (K_U02)
Social competences
• Critically evaluates the risk and investment potential of various types of bonds, including option-embedded bonds, asset-backed securities, and green bonds (K_K01)
Assessment criteria
Written exam (test, open questions, problem-solving tasks), class participation, additional assignments, attendance control.
Learning outcomes will be continuously assessed through tasks performed by participants during classes and finally verified during the course assessment (exam).
Written exam – on campus (100% of the grade), consisting of open questions, tabular tasks, and closed questions. The minimum passing threshold is 51% of the exam points.
Class participation (10%)
Grading scale:
• 0–50% of points – grade 2 (fail)
• 51–60% of points – grade 3 (satisfactory)
• 61–70% of points – grade 3.5 (satisfactory plus)
• 71–80% of points – grade 4 (good)
• 81–90% of points – grade 4.5 (very good)
• 91–100% of points – grade 5 (excellent)
Practical placement
Not required for course completion
Bibliography
Fabozzi, F. Rynki obligacji. Analiza i strategie. Warsaw: WIG Press, 2000, 1st ed.
Fabozzi, Frank J., ed. The Handbook of Fixed Income Securities. 9th ed. New York: McGraw-Hill Education, 2021.
Utkin, Joanna. Obligacje i ich portfele. Wycena, wrażliwość, strategie. Warsaw: Polskie Wydawnictwo Ekonomiczne, 2017.
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Term 2025Z:
Fabozzi F., Rynki obligacji. Analiza i strategie, WIG Press, Warszawa 2000, wyd. I. |
Additional information
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: