Võlakirjad, nende tüübid ja karakteristikud. Tulumäärad. Kestvus ja intressimaksete mõju sellele. Nõgusus. Tulumäärade kõver ja suhteline väärtus. Võlakirjaportfelli juhtimine. Kauplemine tulumäärade kõverale tuginedes. Riskide maandamine. Tulumäärade ajalise struktuuriga seotud riskide juhtimine. Tulumäära kõver ja intressimäärade kõikumised. Intressimäärade ajaline püsivus. Intressimäärast sõltuvad tuletisväärtpaberid.
Course Aims
The objective of the course is to provide a thorough overview of fixed income instruments, of their evaluation, of risks associated with them and to provide knowledge and develop skills for the management of investment portfolios consisting of them.
Learning Outcomes
The student:
- has a thorough overview of fixed income instruments and their risks,
- knows the evaluation methods of fixed income instruments and knows how to use them,
- knows the terminology of the field,
- knows the methods for the management of portfolios consisting of fixed income instruments and is able to use them.
Course Content
Debt Securities, Types and Characteristics of Bonds. Fixed Income Markets, Classification, Segments. Yield Measures. Interest Rate Risk and Duration. Convexity. Fundamentals of Credit Analysis, Credit Analysis Models. Mortgage-Backed and Asset-Backed Securities. Bonds with Embedded Options. Term Structure Analysis. Fixed Income Portfolio Management. Relative-Value Methodologies for Global Credit Bond Portfolio Management.
- Õpetaja/Teacher: Endriko Võrklaev