ADMS4504_Winter 2011_course outline_December 22 2010

ADMS4504_Winter 2011_course outline_December 22 2010 -...

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School of Administrative Studies Faculty of Liberal Arts and Professional Studies Fixed Income Securities and Risk Management Course Number: AP/ADMS4504 Term: Winter 2011 Course Outline Instructor : Professor Xiaofei Li Class Hours and Rooms : Section M, Wednesdays, 7 - 10 pm, in HNE 033 Section N, Tuesdays, 4 – 7 pm, in ACE 005 Office : AK 235A Office Hours : Wednesdays, 2:30 – 5:30 pm, or by appointments Tel : (416) 736-2100 ext. 30119 E-mail : xiaofeil@yorku.ca Course Description This course introduces students to fixed income securities and markets. Topics covered include: debt securities, risks of investing in bonds, the pricing of fixed income securities, the measurement of interest rate risk, the term structure and volatility of interest rates, mortgage-backed and asset-backed securities, the valuation of mortgage-backed and asset-backed securities, interest rate derivatives, and general principles of credit analysis etc. A notable feature of this course is that it is based on the Chartered Financial Analyst ( CFA ) curriculum, thus preparing students for writing the fixed income part at both the Level I and Level II of the CFA exams. This course is both rich in content and fast in pace. Therefore, significant out of class work is required for each student. Prerequisites The only formal prerequisite for this course is ADMS3530 (Finance). However, ADMS4503 ( Derivatives ) is highly recommended to be taken either at the same time or prior to this course. Student Evaluation Class Participation 10% Assignments (2) 15% Midterm Exam 30% Final Exam 45% Required Textbook 1
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Fixed Income Analysis, 2 nd edition, Frank J. Fabozzi (edited), John Wiley & Sons, Inc., 2007 (hereafter, Fabozzi ). Useful Web Sites Department of Finance of Canada: http://www.fin.gc.ca Bank of Canada: http://www.bankofcanada.ca U.S. Department of Treasury: http://www.ustreas.gov U.S. Federal Reserve Bank: http://www.federalreserve.gov Credit ratings: - Moody’s: http://www.moodys.com - Standard & Poor’s: http://www2.standardandpoors.com
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ADMS4504_Winter 2011_course outline_December 22 2010 -...

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