Credits: 3 (3-0-0)
Prerequisites: MSL708 for MBA, MSL302 for B. Tech students
Description
The course covers types of debt securities, who are the market participants in the debt market, regulatory framework, and how debt market in linked to the macroeconomic environment. It covers basic features of the debt market instruments, their valuation, yield measures, duration and convexity measures, and term structure of interest rates. The course covers simple bonds, bonds with embedded options and asset-backed securities, arbitrage-free valuation, reduced and structure models of Credit risk, interest rate derivatives, and construction of bond portfolios and how performance of bond portfolios in evaluated.