Management Development Institute (MDI), Murshidabad
Fixed Income Securities
(Elective Course – PGDM 2021-23)
A - Basic Information
Title: Fixed Income Securities
Number of Credits: 3
Number of Hours: 30
Level: Post Graduate
B - Professional Information
1 - Overall Aims of the course
This course is intended to analyse the fixed income securities markets and its implications for
investments. It will analyse the market characteristics, instruments, pricing and valuation
issues, floating rate instruments, relations with money market instruments, risk and return of
fixed income securities, portfolio management techniques, term structure modeling, bond
indexing, corporate debt and convertibles, bonds with embedded options, municipal bonds
markets, corporate bonds & credit risk analysis, interest rate risk management with swaps,
options and futures, bond management & trading. The course intends to cover the specific
features of the Indian Fixed Income Securities Markets. The course will construct several
Excel based techniques to analyse bond valuation, term structure, portfolio statistics and risk
mapping.
2 - Intended Learning Outcomes of Course (ILOs)
At the end of the course a student is expected to….
1. Identify and distinguish between the different types of fixed income securities.
2. Make use of analytic tools in bond portfolio management and interest rate risk
management.
3. Demonstrate confidence in applying advanced term structure modelling.
4. Understand the application of and pricing of a variety of interest rate products, including
futures, swaps, options, caps, floors, etc.
5. Critically evaluate structured products related to fixed income securities and derivatives.
3 - Contents
Session Topics
No.
1-2 AN INTRODUCTION TO FIXED INCOME MARKETS Veronesi,
Chapter-1
Introduction, The Government Debt Markets, The Money Market, The Repo
Market
3-5 BASICS OF FIXED INCOME SECURITIES Veronesi,
Chapter, 2
The Term Structure of Interest Rates, Coupon Bonds, Floating Rate Bonds
6-8 BASICS OF INTEREST RATE RISK MANAGEMENT Veronesi,
Chapter, 3
Duration, Interest Rate Risk Management, Asset-Liability Management
9-11 BASIC REFINEMENTS IN INTEREST RATE RISK MANAGEMENT Veronesi,
Chapter, 4
Convexity, Slope and Curvature
12-15 INTEREST RATE DERIVATIVES: FORWARDS AND SWAPS Veronesi,
Chapter, 5
Forward Rate Agreements, Interest Rate Swaps, Interest Rate Risk Management
using Derivative Securities
16-18 INTEREST RATE DERIVATIVES: FUTURES AND OPTIONS Veronesi,
Chapter, 6
Interest Rate Futures and Options
19-20 INFLATION, MONETARY POLICY, AND THE INTEREST RATE Veronesi,
Chapter, 7
Predicting the Future Fed Funds Rate, Understanding the Term Structure of
Interest Rates, Treasury Inflation-Protected Securities
4 - Teaching & Learning Methods
Lectures, Case study discussion, Excel modeling
5- Student Assessment Methods
End-term, Mid-term, Quizzes, Assignment
Component Number Component Name Weightage
1 End-Term Exam 30%
2 Mid-Term Exam 30%
3 Quizzes 20%
4 Assignment 20%
Total 100 %
6 - List of references
6.1 - Essential Book (Text Book)
1. Fixed Income Securities, Valuation, Risk, and Risk Management by Pietro Veronesi,
Latest edition, Wiley.
6.2 - Recommended Books
1. The Handbook of Fixed Income Securities, by Frank J. Fabozzi, Eighth edition,
McGraw Hill.
2. Bond Markets, Analysis and Strategies, by Frank J. Fabozzi, Eighth edition, Pearson.
3. Fixed Income Markets and Their Derivatives, by Suresh Sundaresan, Third edition,
Academic Press Advanced finance series.
4. Fixed Income Securities: Tools for Today’s Markets, by Bruce Tuckman & Angel
Serrat, Third edition, Wiley.
5. Handbook of Fixed-Income Securities, by Pietro Veronesi, Latest edition, Wiley.
6. Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies, by
Lionel Martellini, Philippe Priaulet and Stephane Priaulet, Latest edition, Wiley.
7 - Facilities required for Teaching & Learning: Class room, Computer Lab.
8 - Expectations from Students
i. Students must report to the respective sessions well before the announced time.
Latecomers will not be permitted to join the class after the scheduled time. If late, the
attendance for that session will be marked as absent.
ii. Read the Case Study / material well prior to the class discussion. He/she is also
expected to read the chapter indicated in the course plan as the faculty directs.
iii. Evaluation is a continuous process at MDI. Every student needs to be aware of the
timelines. Absence from these evaluations will mean non-awarding of marks in that
particular component.
iv. In the class discussion student is expected to participate actively and contribute to
individual and group learning.
Course Coordinator:
Dr. Debaditya Mohanti
Assistant Professor (Finance), MDI-M
