Finance 4330 David M



Syllabus for MBAX 6260 Spring 2019 - Fixed Income InvestingDavid M. Gross, Ph.D.Description and Learning ObjectivesAfter a brief introduction to fixed income terminology, pricing calculations and risk measures, we will cover the institutional details of various types of fixed income securities. Next we will cover bond portfolio management. We will cover additional topics as time allows.Contact InformationOffice: KOBL 402Office hours: TBDOffice phone: 303-735-6181E-mail: David.Gross@Colorado.EduWeb Page: TextBond Markets, Analysis and Strategies (9th edition), by Fabozzi, Frank J., Pearson publishing.Note on textbook editions: I will assign material from the 9th edition. You are responsible for the material assigned. It is not possible for me to determine all the differences between the current edition, all the previous editions and various alternative (international) editions. By not giving permission to use an earlier edition, the onus is on you to determine difference between the current edition from which material will be assigned and the edition you select.HomeworkThroughout the term, homework that relates to the material covered in the lectures and text will be assigned but NOT collected or graded. You will be provided with answers to these problems. Much of the material covered by the exams will be from these homework problems.Modeling AssignmentsI will assign multiple Excel-based modeling projects that will require you to perform valuation and portfolio calculations and analysis. The specifics of the projects will be assigned as the semester progresses.Quizzes and ExamsThere will be two 30 minutes quizzes, an 80 minute midterm exam and a 3 hour final exam. My expectation is the quizzes will cover definitions and concepts. The exams will cover more computations. The final exam WILL BE CUMULATIVE. Exam ScheduleQuiz 1Thursday, February 7 in classMidterm Thursday, February 28 in classQuiz 2Thursday, April 4 in classFinal ExamThursday, April 25, time TBDGrade WeightingQuizzes15%Midterm Exam25%Final Exam40%Assignments20%These are the only factors that will be used to determine your course grade. There will be no extra credit. Other factors such as graduation or employment plans, extracurricular activities, family events, current employment or your financial situation cannot be considered in determining your course grade. Course Outline (Fabozzi Chapters):Definitions, Price and Risk Calculations1. Introduction 2. Pricing of Bonds3. Measuring Yields 4. Bond Price Volatility5. Factors Affecting Bond Yields and the Term Structure of Interest RatesFixed Income Securities and Markets 6. Treasury and Federal Agency Debt 8. Municipal Securities7. Corporate Debt InstrumentsCorporate Credit Risk22. Corporate Bond Credit Analysis23. Credit Risk Modeling32. Credit Default SwapsFixed Income Portfolio Management24. Bond Portfolio Management Strategies25. Bond Portfolio Construction27. Liability-Driven Strategies28. Bond Performance Measures and Evaluation Disabilities:If you qualify for accommodations because of a disability, please submit to your professor a letter from Disability Services in a timely manner (for exam accommodations provide your letter at least one week prior to the exam) so that your needs can be addressed. Disability Services determines accommodations based on documented disabilities. Contact Disability Services at 303-492-8671 or by e-mail at dsinfo@colorado.edu. If you have a temporary medical condition or injury, see?Temporary Injuries guidelines under the Quick Links at the Disability Services website?and discuss your needs with your professor. University Student Policies:All University of Colorado and Leeds School of Business rules, policies, and procedures will be followed in the course (including those related to drop/add requirements and the grade of “IF”). Academic dishonesty can result in a failing grade for the course. University policies regarding academic and behavior issues should be reviewed at: Observance:Campus policy regarding religious observances requires that faculty make every effort to reasonably and fairly deal with all students who, because of religious obligations, have conflicts with scheduled exams, assignments, or require attendance. Please contact your Instructor prior to any potential course conflict.Student Honor Code: students enrolled in a University of Colorado Boulder course are responsible for knowing and adhering to?the academic integrity policy?of the institution. Violations of the policy may include: plagiarism, cheating, fabrication, lying, bribery, threat, unauthorized access, clicker fraud, resubmission, and aiding academic dishonesty. All incidents of academic misconduct will be reported to the Honor Code Council (honor@colorado.edu; 303-735-2273). Students who are found responsible for violating the academic integrity policy will be subject to nonacademic sanctions from the Honor Code Council as well as academic sanctions from the faculty member. Additional information regarding the academic integrity policy can be found at honorcode.colorado.edu. Classroom Behavior Students and faculty each have responsibility for maintaining an appropriate learning environment. Those who fail to adhere to such behavioral standards may be subject to discipline. Professional courtesy and sensitivity are especially important with respect to individuals and topics dealing with differences of race, color, culture, religion, creed, politics, veteran’s status, sexual orientation, gender, gender identity and gender expression, age, disability, and nationalities. Class rosters are provided to the instructor with the student's legal name. I will gladly honor your request to address you by an alternate name or gender pronoun. Please advise me of this preference early in the semester so that I may make appropriate changes to my records. For more information, see the policies on classroom behavior and the student code. ................
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