> ## Content Index > Fetch the complete content index at: https://fsc.stevens.edu/llms.txt > Use this file to discover other available public pages before exploring further. # FIN 629 Fixed Income Analysis - URL: https://fsc.stevens.edu/fin-629/ - Published: 2021-05-03T14:42:59.000Z - Updated: 2026-05-16T22:35:52.000Z - Author: Akshat Goel - Tags: Courses, #Import 2024-05-30 10:26, #Import 2025-11-08 22:14 Course Catalog Description # Introduction Fixed-income securities include bonds that promise a fixed income stream and by exten- sion all securities whose valuation and hedging are related to market interest rates. These fixed income financial claims include pure discount bonds, coupon bonds such as Treasury notes and corporate bonds, floating rate notes, callable bonds, among many others, issued by public or private entities. Quantitative tools are especially important for understand- ing fixed-income securities: Their cash flows are contractually specified which makes it relatively easy to quantify the payoffs, yet the subtleties of interest rate movements and variations in credit risk ensure that quantitative analysis is useful. This is an intermediate/advanced level course that addresses money flows and the cost of credit for major money market institutions, including banks, bank holding companies and the “shadow banking” system. It entails a broad survey of the structure and financial condition of the banking industry. The course provides a theoretical and practical understanding of why these markets exist, who the key players are; how the markets work, the rules governing their operation and how they are evolving. We will spend considerable time in discussing regulation of the financial markets and financial services industry. **Prerequisite:** Financial Management (FIN 623) or its equivalent | Campus | Fall | Spring | Summer | | ---------- | ---- | ------ | ------ | | On Campus | X | X | | | Web Campus | X | X | | Instructors | Professor | Email | Office | | | | | | ---------------------------------------- | --------------------------------------------- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- | ------- | | ------ | ------- | | Dr. Suman Banerjee sbanerj2@stevens.edu | By Appointment (Email) | More Information Course Outcomes After successfully completing this course in fixed income asset valuation, the student should have improved competencies in the following areas of: Creative and Critical ThinkingCritical look at the capital market and determine if what they are following the “best” practices.Determine alternate methods of enhancing “investors’ wealth” in fixed income markets. Creation of ValueKeeping the primary objective (shareholders’ wealth maximization) clear, how can the firm add value to other stakeholders like debtholders, suppliers and customers? Field Specific Knowledge and ExperienceLook at the traditional methods of how firms determine the way they finance themselves and apply concepts learned from this course to make changes to the status quo. Some Statistical Data Analysis and Computer SkillThe ability to take interest rate-related data and process through statistical procedures using MS Excel and take the results and communicate those results in a understandable way using MS Words. Ethical & Professional JudgmentUtilize ethical frameworks to analyze organizational decision-making as it re- lates to fixed income markets. Course Resources Textbook Required: Frank J. Fabozzi, Fixed Income Mathematics, 4E: Analytical & Statis- tical Techniques, Pearson. Reference: Pietro Veronesi, Fixed Income Securities, Wiley. Reference: Suresh Sundaresan, Fixed Income Markets and Their Derivatives, El- sevier. Grading Grading Policies There will be three (3) 15/20 minutes in-class quizzes. Two (2) best quiz scores out of the possible three will count and will account for 10% of your final course grade. I will announce these quizzes only one lecture in advance. There is one in-class midterm exam. The midterm exam is worth 20.00% of the class grade. I will provide more information on the content of these exams close to the actual dates. Also, there is a final exam. Final exam is worth 20% of the class grade. Each homework will consist of about 10 problems. All homework will be graded and I post detailed solution after the due date. Homework assignments account for 10% of the final grade and graded mainly on perceived effort. Attendance, interaction and aptitude will account for 10% of the final grade. And then there is a final project, worth the remaining 30% of your final grade, due on the on or before the final exam date. In the past I have given a final project consisting of two parts, equally weighted, and my plan is to do the same this Spring. The first part is typically about bond pricing and interest rate risk, the second part is typically about another risk inherent in fixed income securities that we cover in the second part of the class. Students should prepare a write-up in groups (up to four students), have to do a class presentation and the submission should be joint as well. Please limit the write-up to four pages of text; you can add tables or graphs. In order to be eligible to receive a final grade in this course, you have to take all three exams. Under special circumstance, I will arrange for make-up exams, but each one of you are eligible to take only one make-up. You have to go through proper channel (student services office) and provide me with documents supporting (e.g., medical certificates) your reasons for absence. I will give +/− grades for this course. | | | Points | Weights | | 1 | In-Class Quizzes | 30 | 10% | | | | | 2 | Homework Assignments | 30 | 10% | | | | | 3 | Midterm Examination | 60 | 20% | | | | | 4 | Final Examination | 60 | 20% | | | | | 5 | Project & Class Presentation | 90 | 30% | | | | | 6 | Class Participation | 30 | 10% | | | | | Lecture Outline | | Topic | Reading | | | | | Week 1 | Course Overview & Optimization 1 | Special Notes | | | | | | Week 2 | Optimization 2 | Special Notes | | | | | | Week 3 | Bond Valuation Topics 1 | Fabozzi Chapters 5, 6, 9 & 10 | | | | | | Week 4 | Bond Valuation Topics 2 | Fabozzi Chapters 5, 6, 9 & 10 | | | | | | Week 5 | Bond Volatility Topics 1 | Fabozzi Chapters 12, 13 & 14 | | | | | | Week 6 | Bond Volatility Topics 2 | Fabozzi Chapters 12, 13 & 14 | | | | | | Week 7 | Midterm Exam | Comprehensive | | | | | | Week 8 | Term Structure of Interest & Spot Curve 1 | Fabozzi Chapters 7 & 8 | | | | | | Week 9 | Term Structure of Interest & Spot Curve 2 | Fabozzi Chapters 7 & 8 | | | | | | Week 10 | Bank Asset-Liability Management & Credit Risk | Special Notes | | | | | | Week 11 | Bond Futures & Interest Rate Swaps 1 | Special Notes | | | | | | Week 12 | Bond Futures & Interest Rate Swaps 2 | Special Notes | | | | | | Week 13 | Project Presentation Day 1 | 15/20 minutes each team | | | | | | Week 14 | Project Presentation Day 2 | 15/20 minutes each team | | | | | | Week 15 | Final Exam | Comprehensive | | | | |