AFC2340 - Debt markets and fixed income securities

Leader: Associate Professor Roger Gay

Offered

Clayton Second semester 2007 (Day)

Synopsis

Topics covered in this unit include: an introduction to mathematics of finance, applications to debt markets, in particular the Australian annuity, short-term money market and capital markets; economic factors affecting the yield curve; interest rate risk management by immunisation; life contingencies, the mortality table, actuarial bases, life annuities, assurances, valuation of life interests, optimal conversion of lump sum to a retirement income stream, and retirement income streams.

Objectives

The learning objectives of this unit are to:

• describe conventions used in short term money and capital markets, and explain the implications for pricing of products in these markets;
• explain use and limitations of mortality tables in valuation of life contingent products, especially retirement income streams;
• apply quantitative skills required for pricing and risk management associated with money, capital and retirement income stream markets;
• apply critical thinking, problem solving and presentation skills to individual and/or group activities dealing with debt markets and fixed income securities.

Assessment

Option 1: Assignment: (20%)
Examination (3 hours) 80%
Option 2: Examination (3 hours): 100%

Contact hours

Three hours per week

Prerequisites

ETC1000 plus either (i) AFC1100 or (ii) AFC2100 or (iii) AFC2140