Students
AFIN8012 – Fixed Income and Credit Analysis
2020 – Session 2, Special circumstance
Notice
As part of Phase 3 of our return to campus plan, most units will now run tutorials, seminars and other small group learning activities on campus for the second half-year, while keeping an online version available for those students unable to return or those who choose to continue their studies online.
To check the availability of face to face activities for your unit, please go to timetable viewer. To check detailed information on unit assessments visit your unit's iLearn space or consult your unit convenor.
General Information
Download as PDF
| Unit convenor and teaching staff |
Unit convenor and teaching staff
Unit Convenor
Daniel Ding
|
|---|---|
| Credit points |
Credit points
10
|
| Prerequisites |
Prerequisites
AFIN6012 or ACST603 or ACST6003 or Admission to MFin
|
| Corequisites |
Corequisites
|
| Co-badged status |
Co-badged status
|
| Unit description |
Unit description
This unit introduces students to the financial world of fixed income securities and their markets, explains the risks of these securities, and presents the tools used in their valuation. The unit focuses on both the theoretical and practical aspects of fixed income investment. The topics covered include analysis of fixed income securities and markets, term structure of interest rates, valuation principles of various types of fixed income securities, and portfolio management strategies using fixed income securities. |
Important Academic Dates
Information about important academic dates including deadlines for withdrawing from units are available at https://www.mq.edu.au/study/calendar-of-dates
Learning Outcomes
On successful completion of this unit, you will be able to:
- ULO1: Analyse the different types of fixed income securities and their characteristics.
- ULO2: Examine the methods of valuing different types of fixed income securities.
- ULO3: Evaluate the roles of fixed income securities in portfolio construction and their market operations.
- ULO4: Apply strategies and interest rate immunization in fixed income securities management.
General Assessment Information
Assessment criteria for all assessment tasks will be provided on the unit iLearn site.
It is the responsibility of students to view their marks for each within-session-assessment on iLearn within 20 days of posting. If there are any discrepancies, students must contact the unit convenor immediately. Failure to do so will mean that queries received after the release of final results regarding assessment tasks (not including the final exam mark) will not be addressed.
Late submissions and extensions
Tasks 10% or less – No extensions will be granted. Students who have not submitted the task prior to the deadline will be awarded a mark of 0 for the task, except for cases in which an application for special consideration is made and approved.
Tasks above 10% - No extensions will be granted. There will be a deduction of 10% of the total available marks made from the total awarded mark for each 24 hour period or part thereof that the submission is late (for example, 25 hours late in submission – 20% penalty). This penalty does not apply for cases in which an application for special consideration is made and approved. No submission will be accepted after solutions have been posted.
Assessment Tasks
| Name | Weighting | Hurdle | Due |
|---|---|---|---|
| Homework Submission | 20% | No | 2 random weeks |
| Group Report | 30% | No | Week 12 |
| Final Examination | 50% | No | During University Examination Period |
Homework Submission
Assessment Type 1: Practice-based task
Indicative Time on Task 2: 18 hours
Due: 2 random weeks
Weighting: 20%
Two online submissions of homework assessments. Due dates will be provided in iLearn.
On successful completion you will be able to:
- Analyse the different types of fixed income securities and their characteristics.
- Examine the methods of valuing different types of fixed income securities.
- Evaluate the roles of fixed income securities in portfolio construction and their market operations.
- Apply strategies and interest rate immunization in fixed income securities management.
Group Report
Assessment Type 1: Report
Indicative Time on Task 2: 30 hours
Due: Week 12
Weighting: 30%
The project will cover quantitative and qualitative research on a case study. Students will be required to work in groups and produce a report of between 2,000 to 2,500 words. 50% of the marks will be allocated to individual performance.
On successful completion you will be able to:
- Analyse the different types of fixed income securities and their characteristics.
- Examine the methods of valuing different types of fixed income securities.
- Evaluate the roles of fixed income securities in portfolio construction and their market operations.
- Apply strategies and interest rate immunization in fixed income securities management.
Final Examination
Assessment Type 1: Examination
Indicative Time on Task 2: 20 hours
Due: During University Examination Period
Weighting: 50%
A two hour online open book final examination will be held during the University Examination Period.
On successful completion you will be able to:
- Analyse the different types of fixed income securities and their characteristics.
- Examine the methods of valuing different types of fixed income securities.
- Evaluate the roles of fixed income securities in portfolio construction and their market operations.
- Apply strategies and interest rate immunization in fixed income securities management.
1 If you need help with your assignment, please contact:
- the academic teaching staff in your unit for guidance in understanding or completing this type of assessment
- the Writing Centre for academic skills support.
2 Indicative time-on-task is an estimate of the time required for completion of the assessment task and is subject to individual variation
Delivery and Resources
Required Text
Fabozzi F.J. (2015) Bond Markets, Analysis and Strategies (9th Edition), Pearson Education.eBook: https://www.pearson.com.au/9780133797145
(Please note: the 8th edition can also be used as most of the content has not changed. Also, the eBook format is a little bit strange as some figures or tables are wrapped in different shape)
Some other research papers will also be provided on ilearn.
The timetables for classes can be found on the University website at: https://timetables.mq.edu.au/2020/
Unit Schedule
|
Week |
Week Beginning |
Topic |
Notes |
|
1 |
27th Jul |
Introduction of fixed income security and credit analysis |
Chapter 1 of textbook |
|
2 |
3rd Aug |
Bond pricing and yields |
Chapter 2-3 |
|
3
|
10th Aug |
Bond duration and convexity |
Chapter 4 |
|
4 |
17th Aug |
Term structure and interest rate |
Chapter 5 |
|
5 |
24th Aug |
Treasury and corporate debt |
Chapter 6,7 |
|
6 |
31st Aug |
Bond with options |
Chapter 18 |
|
7 |
7th Sept |
Securitization I |
Chapter 10, 11, 12 |
|
|
Break |
|
|
|
8 |
28th Sept |
Securitization II |
Chapter 15 |
|
9 |
5th Oct |
Interest rate derivatives I |
Chapter 29, 30 |
|
10 |
12th Oct |
Interest rate derivatives II and CDS |
Chapter 31, 32 |
|
11 |
19th Oct |
Bond portfolio management I |
Chapter 16, 24, 25 |
|
12 |
26th Oct |
Bond portfolio management II |
Chapter 26, 27 Group Report Due |
|
13 |
2nd Nov |
Revision |
|
Policies and Procedures
Macquarie University policies and procedures are accessible from Policy Central (https://staff.mq.edu.au/work/strategy-planning-and-governance/university-policies-and-procedures/policy-central). Students should be aware of the following policies in particular with regard to Learning and Teaching:
- Academic Appeals Policy
- Academic Integrity Policy
- Academic Progression Policy
- Assessment Policy
- Fitness to Practice Procedure
- Grade Appeal Policy
- Complaint Management Procedure for Students and Members of the Public
- Special Consideration Policy (Note: The Special Consideration Policy is effective from 4 December 2017 and replaces the Disruption to Studies Policy.)
Students seeking more policy resources can visit the Student Policy Gateway (https://students.mq.edu.au/support/study/student-policy-gateway). It is your one-stop-shop for the key policies you need to know about throughout your undergraduate student journey.
If you would like to see all the policies relevant to Learning and Teaching visit Policy Central (https://staff.mq.edu.au/work/strategy-planning-and-governance/university-policies-and-procedures/policy-central).
Student Code of Conduct
Macquarie University students have a responsibility to be familiar with the Student Code of Conduct: https://students.mq.edu.au/study/getting-started/student-conduct
Results
Results published on platform other than eStudent, (eg. iLearn, Coursera etc.) or released directly by your Unit Convenor, are not confirmed as they are subject to final approval by the University. Once approved, final results will be sent to your student email address and will be made available in eStudent. For more information visit ask.mq.edu.au or if you are a Global MBA student contact globalmba.support@mq.edu.au
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Learning Skills
Learning Skills (mq.edu.au/learningskills) provides academic writing resources and study strategies to help you improve your marks and take control of your study.
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Students with a disability are encouraged to contact the Disability Service who can provide appropriate help with any issues that arise during their studies.
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