2 classes matched your search criteria.

Spring 2022  |  FINA 6121 Section 001: Debt Markets, Interest Rates, and Hedging (57727)

Instructor(s)
Class Component:
Lecture
Credits:
2 Credits
Grading Basis:
A-F only
Instructor Consent:
No Special Consent Required
Instruction Mode:
In Person Term Based
Class Attributes:
Online Course
Enrollment Requirements:
MBA or Mgmt Science MBA
Times and Locations:
First Half of Term
 
01/18/2022 - 03/14/2022
Tue, Thu 09:55AM - 11:35AM
UMTC, West Bank
Hanson Hall 1-107
Enrollment Status:
Open (16 of 48 seats filled)
Also Offered:
Course Catalog Description:
This class introduces the tools and concepts needed to analyze fixed income securities. Topics include the pricing and hedging of fixed-rate Treasuries, floating rate bonds, bonds with embedded options, defaultable bonds, mortgage-backed securities and their derivatives, inflation-indexed bonds, duration analysis, and the Federal Reserve's impact on interest rates. This course is extremely computationally intensive. Most of the assignments entail statistical modeling via regression analysis on historical data such as the term structure of interest rates, credit spreads, and other fixed income instruments. We also investigate how well future interest rates can be forecasted using forward rates and other observables. Advanced mathematical techniques such as principal component analysis and attribution analysis are investigated. Stochastic modeling of interest rate dynamics via Brownian Motion and Monte Carlo analysis is also introduced. Every class begins by discussing current headline news regarding fixed income markets, and how they relate to the concepts being taught. prereq: MBA student, MBA 6230
Class Description:
Debt instruments are an important source of financing for both corporations and governments. This course will focus on developing a sound approach to valuing fixed income securities and basic interest rate derivatives. The course will also develop an understanding of the term structure of interest rates, measures of interest rate risk and a survey of fixed income markets. Valuation of fixed income securities is highly mathematical and often quite complex. There will be an emphasis on the theoretical framework of interest rate markets and valuation because understanding these fundamentals gives financial professionals a solid foundation for understanding the continuously evolving fixed income markets. Topics include Bond valuation: yield conventions, spot/forward rates, term structure, binomial pricing, static/option-adjusted spread. Duration: PVBP, Macauley/modified/effective duration, convexity. Portfolio management, hedging: dedicated, immunization, horizon matching, contingent, indexing, portfolio insurance, hedging. Treasury market: the role of Fed, auctions, primary dealers, market conventions, bills, notes, bonds, strips, repos. Fixed income markets: agency, corporate, private placement, securitization, municipal.
Who Should Take This Class?:
Foundational course for anyone interested in corporate finance or investment banking. This course is reserved for MBA students. If you are a non-MBA student seeking to take this course, fill out the petition form found at goo.gl/9Y9PR5. Additional information, including petition deadlines, can be found at http://carlsonschool.umn.edu/degrees/master-business-administration/part-time-mba/admissions/mba-course-petition-form
Learning Objectives:
1. Students will demonstrate the ability to derive the term structure of interest rates from the prices of Treasury securities and use this information to determine the relative value of various debt instruments.
2. Students will understand how to identify mispricings in spot and forward markets using arbitrage arguments and construct trading positions to exploit these mispricings.
3. Students will use duration and convexity to quantify interest rate risk and develop hedging strategies to manage this risk using the cash and derivatives markets.
4. Students will gain a familiarity with the Treasury, Agency, Municipal, Corporate, Asset-Backed and Mortgage-Backed Securities markets and the basic structures and conventions in these markets.
Textbooks:
https://bookstores.umn.edu/course-lookup/57727/1223
Instructor Supplied Information Last Updated:
8 February 2017

Spring 2022  |  FINA 6121 Section 060: Debt Markets, Interest Rates, and Hedging (57728)

Instructor(s)
Class Component:
Lecture
Credits:
2 Credits
Grading Basis:
A-F only
Instructor Consent:
No Special Consent Required
Instruction Mode:
In Person Term Based
Class Attributes:
Online Course
Enrollment Requirements:
MBA or Mgmt Science MBA
Times and Locations:
First Half of Term
 
01/18/2022 - 03/14/2022
Mon 05:45PM - 09:05PM
UMTC, West Bank
Carlson School of Management 1-135
Enrollment Status:
Open (8 of 48 seats filled)
Also Offered:
Course Catalog Description:
This class introduces the tools and concepts needed to analyze fixed income securities. Topics include the pricing and hedging of fixed-rate Treasuries, floating rate bonds, bonds with embedded options, defaultable bonds, mortgage-backed securities and their derivatives, inflation-indexed bonds, duration analysis, and the Federal Reserve's impact on interest rates. This course is extremely computationally intensive. Most of the assignments entail statistical modeling via regression analysis on historical data such as the term structure of interest rates, credit spreads, and other fixed income instruments. We also investigate how well future interest rates can be forecasted using forward rates and other observables. Advanced mathematical techniques such as principal component analysis and attribution analysis are investigated. Stochastic modeling of interest rate dynamics via Brownian Motion and Monte Carlo analysis is also introduced. Every class begins by discussing current headline news regarding fixed income markets, and how they relate to the concepts being taught. prereq: MBA student, MBA 6230
Class Description:
Debt instruments are an important source of financing for both corporations and governments. This course will focus on developing a sound approach to valuing fixed income securities and basic interest rate derivatives. The course will also develop an understanding of the term structure of interest rates, measures of interest rate risk and a survey of fixed income markets. Valuation of fixed income securities is highly mathematical and often quite complex. There will be an emphasis on the theoretical framework of interest rate markets and valuation because understanding these fundamentals gives financial professionals a solid foundation for understanding the continuously evolving fixed income markets. Topics include Bond valuation: yield conventions, spot/forward rates, term structure, binomial pricing, static/option-adjusted spread. Duration: PVBP, Macauley/modified/effective duration, convexity. Portfolio management, hedging: dedicated, immunization, horizon matching, contingent, indexing, portfolio insurance, hedging. Treasury market: the role of Fed, auctions, primary dealers, market conventions, bills, notes, bonds, strips, repos. Fixed income markets: agency, corporate, private placement, securitization, municipal.
Who Should Take This Class?:
Foundational course for anyone interested in corporate finance or investment banking. This course is reserved for MBA students. If you are a non-MBA student seeking to take this course, fill out the petition form found at goo.gl/9Y9PR5. Additional information, including petition deadlines, can be found at http://carlsonschool.umn.edu/degrees/master-business-administration/part-time-mba/admissions/mba-course-petition-form
Learning Objectives:
1. Students will demonstrate the ability to derive the term structure of interest rates from the prices of Treasury securities and use this information to determine the relative value of various debt instruments.
2. Students will understand how to identify mispricings in spot and forward markets using arbitrage arguments and construct trading positions to exploit these mispricings.
3. Students will use duration and convexity to quantify interest rate risk and develop hedging strategies to manage this risk using the cash and derivatives markets.
4. Students will gain a familiarity with the Treasury, Agency, Municipal, Corporate, Asset-Backed and Mortgage-Backed Securities markets and the basic structures and conventions in these markets.
Textbooks:
https://bookstores.umn.edu/course-lookup/57728/1223
Instructor Supplied Information Last Updated:
8 February 2017

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