BFC2340 - Debt markets and fixed income securities - 2017

Semester 2

Topics covered in this unit include an overview of debt markets, bond pricing, factors affecting bond prices and yields including bond price volatility and the term structure of interest rates, different types of debt instruments including government, corporate and international bonds, credit risk modelling, bond portfolio construction and management, and finally, bond performance measurement and evaluation.

Semester 1

Topics covered in this unit include: an introduction to mathematics of finance, rates of interest, rates of discount, present and accumulated value of cash flows under fixed and variable rates of interest, equation of value, applications to debt and retirement income stream markets, in particular the Australian annuity, short-term money market and capital markets; factors affecting accumulation under the Superannuation Guarantee Scheme; economic factors affecting the yield curve, zero coupon bonds, zero coupon bond yield curve, pricing bonds, bond yields, callable bonds, effect of tax on yield, annuity bonds, hybrids, CGB futures and options on futures, interest rate risk management by immunisation, stochastic models for cash flows and stochastic rates of interest, calculation of moments of present values and accumulations, arbitrage-free asset pricing, hedging, optimal conversion of lump sum to a retirement income stream.

Semester 2

The learning goals associated with this unit are to:

1. describe conventions used in debt markets, and explain the implications for pricing of products in these markets
2. apply quantitative skills required for pricing and risk management associated with debt market instruments
3. apply critical thinking, problem solving and presentation skills to individual and/or group activities dealing with debt markets and fixed income securities and demonstrate in an individual summative assessment task the acquisition of a comprehensive understanding of the topics covered by BFC2340.

   Semester 1

   The learning goals associated with this unit are to:

4. describe conventions used in short term money and capital markets, and explain the implications for pricing of products in these markets
5. apply quantitative skills required for pricing and risk management associated with money, capital and retirement income stream markets
6. apply critical thinking, problem solving and presentation skills to individual and/or group activities dealing with debt markets and fixed income securities and demonstrate in an individual summative assessment task the acquisition of a comprehensive understanding of the topics covered by BFC2340.

Within semester assessment: 40% + Examination: 60%

Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.

See also Unit timetable information

Dr Philip Gharghori

Students must have passed one of the following units: AFC2000, BFC2000, AFC1100 (pre 2009), AFC2100 (pre 2009), BFB1001, BFC1001, BFF1001, BFP1001, BFW1001 OR be enrolled in course B6014 or 4439 prior to undertaking this unit.

AFC2340