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ES50075: Economics of bond markets

Follow this link for further information on academic years Academic Year: 2014/5
Further information on owning departmentsOwning Department/School: Department of Economics
Further information on credits Credits: 6
Further information on unit levels Level: Masters UG & PG (FHEQ level 7)
Further information on teaching periods Period: Semester 1
Further information on unit assessment Assessment Summary: CW 30%, EX 70%
Further information on unit assessment Assessment Detail:
  • EXAM (EX 70%)
Further information on supplementary assessment Supplementary Assessment: ES50075A - RESIT EXAM (where allowed by programme regulations)
Further information on requisites Requisites:
Further information on descriptions Description: Aims:
The aim of the course is to provide students with an in depth understanding of the working of the diverse markets for fixed income securities. The module will address issues and develop the analytical framework for pricing, portfolio construction, the sources and management of interest rate risk and the importance of the macro-economy to market developments. The module will also familiarise the students with a critical evaluation of the empirical evidence.

Learning Outcomes:
On successful completion of the unit students will:
* Have knowledge of the financial products traded in the credit markets, such as Government and corporate bonds, bond options, swaps and credit default swaps;
* Be able to use the specific tools used to evaluate and hedge these products and understand the importance of the theoretical empirical techniques used, and their empirical evidence, to monitor and manage risk;
* Have obtained a critical understanding of the process of securitization and the working of the basic credit derivative markets.


* Critical awareness of current issues and frameworks in the fixed income markets. (F/T)
* Evaluate the current standing of theories and empirical evidence. (T/F)
* Ability to conduct elementary research in the economics in bond and other fixed income markets using market data and statistical techniques. (T/F)

The unit covers the valuation of a wide variety of fixed income securities and derivatives including pure discount bonds, coupon bonds, forwards and options on fixed income securities and interest-rate swaps. Issues of bond portfolio construction will be addressed and among relevant topics will be covered in the course are the relations between macroeconomic variables and interest rates. The unit focuses on the development of analytic tools such as yield curve construction, duration and convexity, and factor models incorporating macroeconomic and financial information.
Further information on programme availabilityProgramme availability:

ES50075 is Optional on the following programmes:

Department of Economics
* This unit catalogue is applicable for the 2014/15 academic year only. Students continuing their studies into 2015/16 and beyond should not assume that this unit will be available in future years in the format displayed here for 2014/15.
* Programmes and units are subject to change at any time, in accordance with normal University procedures.
* Availability of units will be subject to constraints such as staff availability, minimum and maximum group sizes, and timetabling factors as well as a student's ability to meet any pre-requisite rules.