EF5157 Fixed Income Securities
Chapter 2: Basics of Fixed Income Securities
Hongseok Choi
City University of Hong Kong
Fall 2016
In this lecture, were going to talk about
Discount Factors
Interest Rates
Compounding Frequency
The Relationship between D
EF5157 Fixed Income Securities
Chapter 1: Introduction
Hongseok Choi
City University of Hong Kong
Fall 2016
Examples
Government Debt
U.S. Treasury bills, notes, and bonds.
Mortgage-Backed Securities (MBSs)
Derivatives
Interest rate swaps, forwards, f
Last week we talked about
Various fixed income securities
and interest rates quoted in the market.
Our pricing principle: The absence of arbitrage
opportunities, and the consequent law of one
price.
Definitions of
the discount factor
the interest rat
2016 Summer Term
EF 5083
Operational and Integrated
Risk Management for Financial Institutions
Case Study
Yau Man Kuen
50493848
1a) There is no operational risk exposure for the bank, as there is no risk of loss
resulting from inadequate or failed interna
Case Study
MARKING SCHEME ( Total: 100 marks )
Remark: This is an open-ended question, and various approaches to meet the
requirements can be accepted.
Question 1: Assuming you are the operational risk manager of a banking institution,
you are asked by yo
1a)
It is a business disruption and system failures. The sell algorithm is the pre-set program to
execute transaction. It can execute large volume of transaction orders at the same time and
it will trigger market turbulence easily.
In addition, it will ca
EF5157 Fixed Income Securities
Chapter 3: Basics of Interest Rate Risk Management
Hongseok Choi
City University of Hong Kong
Fall 2016
Define the level of interest rates as
the average interest rate across maturities.
The Savings and Loan
Debacle
A savin
1. Conflicts between shareholders and managers are usually resolved:
a. by arbitration
b. in favor of shareholders
c. in favor of managers
d. by rules of first priority
e. none of the above
2. In the large corporation the separation of management and owne
21. The dividend growth rate is equal to the product of what two ratios?
a. ROA, current ratio
b. ROE, retention ratio
c. PM, ROA.
d. ROA, ROE
22. What would be the maximum an investor should pay for the common stock of a
firm that has no growth opportuni
Corporate Finance
Jim Wang
Capital Budgeting Criteria
Foundations of Capital
Budgeting
Recall that in the beginning of the course we defined
the NPV or Net Present Value of a project as:
Cn
C1
C2
NPV I 0
.
2
1 r (1 r )
(1 r ) n
where I0 is the investm
EF5052 Investments
Problem Set 2
1.
A 4 year 100 par value, 5.8% annual coupon bond selling to yield at 7.0%.
(a) What is the value of this security at the current yield of 7.0%?
(b) What is the value of the bond one year later assuming the yield is uncha
EF5052 Investments
Problem Set 2 (solutions)
1.
Compute the prices as follows:.
year
annual CF
present value
1
5.8
5.42
2
5.8
5.07
3
5.8
4.73
4
105.8
80.71
Value=
year
95.94
annual CF present value at 7%
present value at 6.2%
1
5.8
5.42
5.46
2
5.8
5.07
5.
EF5052 Investments
Problem Set 3
additional question:
e. How would you proceed if short-selling restrictions applies? (No need to make any
further calculations. A short paragraph suffices)
Dr. Andrew Wong
Department of Economics and Finance
City University of Hong Kong
Office: AC1 G7753
Phone: 3442-6776
Email: andrew2223@cityu.edu.hk
Course Syllabus
EF5050: Derivatives & Risk Management
Semester A 2016-17
Class Time & Classroom
Tuesday 9:00
EF5050
Derivatives and Risk
Management
Semester A 2016/2017 Week 1
Dr. Andrew Wong
1
Introduction
2
What is a Derivative?
A derivative is an instrument whose value
depends on, or is derived from, the value of
another asset.
Examples: futures, forwards, sw
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