成人大片

Name: Dale Blackmore
Location: Room 13.51, 10 Pulteney Street Adelaide SA
Telephone: +618 8313 0083
Email: dale.blackmore@adelaide.edu.au

By the end of this course students should be able to:
1. know the different types of fixed income securities and their characteristics
2. value fixed income securities
3. derive spot yield curve
4. measure and manage interest rate and credit risk
5. know passive and active fixed income portfolio management techniques
6. know the principles of securitisation.

Frank Fabozzi (2011, 8th edition), “Bond Markets, Analysis and Strategies”

Martellini, Lionel, Philippe Priaulet and Stephane Priaulet, (2003) “Fixed Income Securities: Valuation, Risk Management and Portfolio Strategies”, John Wiley. (Reading list: MPP)

For students who want to do the CFA (Chartered Financial Analyst) Exam, the following books are useful:

1. Fabozzi, Frank, (2ed) "Fixed Income Analysis for the Chartered Financial Analyst Program", Frank J. Fabozzi Associates, New Hope, Pennsylvania. (Reading list: FF1)

2. Fabozzi, Frank, "Fixed Income Readings for the Chartered Financial Analyst Program", Frank J. Fabozzi Associates, New Hope, Pennsylvania. (Reading list: FF2)

The course website:
will contain all lecture notes, discussion problem sets and solutions and other relevant announcements.

This course will offer 2 intensive seminars. Material will be taught in seminars supported by discussion questions and solutions.

The University expects full-time students (i.e. those taking 12 units per semester) to devote a total of 48 hours per week (over 12 weeks) to their studies. This means that you are expected to commit approximately 108 hours (9 hours x 12 week) for a three-unit course of private study outside of your intensive seminars. Students are expected to attend both intensive seminars and participate in discussion groups.

TOPIC SCHEDULE

(Note that the schedule is given as a guideline only and will be revised as the course proceeds. Bolded readings are the main sources for each topic).

Warning: The chapter identifications below are based on the previous editions of the referenced books and may differ in the current editions.

Topic number	Topic	Readings
First Intensive
1	FIS Introduction, Interest Rate and Bond Prices	F ch 1-3; MPP ch 1-2; FF1 ch I/ 1-6
2	Yields and the Spot Rate Curve	F ch 3; MPP ch 3-4, FF1 ch II/ 1
3	Forward and the Term Structure of Interest rate	F ch 5; MPP ch 5, FF1 ch I/ 7
4	Measuring Interest Rate Risk	F ch 4;
5	Managing Interest Rate Risk – Part 1	F ch 24; MPP ch5, FF1 ch I/ 7, FF2 ch 3
Second intensive
6	Managing Interest Rate Risk – Part 2	F ch 22 & 24; MPP ch6, FF1 ch I/ 7
7	Passive Fixed Income Portfolio Management	F ch 24; MPP ch 7; FF2 ch 4
8	Active Fixed Income Portfolio Management	MPP ch 8; F ch 23;
9	Securitisation	F ch 10-15; MPP ch 17-18, FF1 ch II/ 3-5
10	Corporate Bond Market and Credit Risk	F ch 7, ch 20-21; FF1 ch II/ 9

Assessment Requirement	% of Total Mark
Problem set	40%
Final exam	60%

Attendance
Statutory obligations in Singapore are such that attendance in person is a compulsory condition of passing a course. Our specific requirements are that students must attend at least 80% of class sessions to be graded for that course. For these purposes each intensive weekend is defined as comprising 5 sessions with 1 on Friday evening and 2 on each of Saturday and Sunday.
Each course in total comprises 10 sessions; Students must attend a minimum of 8 sessions to be eligible to be given a grade for the course. Students failing to meet these requirements will be automatically graded 0% Fail (F) on their transcripts.

Assessment
1. To gain a pass for this course, a mark of at least 45% must be obtained on the examination as well as a total of at least 50% overall. Students not achieving the minimum exam mark will be awarded no more than 49.
2. Legible hand-writing and the quality of English expression are considered to be integral parts of the assessment process. Marks may be deducted in the final examination because of poor hand-writing.
3. Students in this course are not permitted to take a DICTIONARY (English or English-Foreign) into the examination. The use of a calculator in the examination is permitted in this course. More details on allowable calculators will be provided later.

The assessment components are as follows:
 
Problem set 40%
This assignment is in two parts:
Part A – Problem set of questions to be completed individually. Mark allocation is 50% of this assignment
Part B – Problem set of questions to be completed by a group of not more than four (4) students. Mark allocation is 50% of this assignment
Detailed information on the group assignment will be available on MyUni and will be discussed in class.
 
Final Exam 60%
The final examination will be a 3 hour closed book exam and will be held during the examination period.

Notes on Assessment
1. All set work including assignments and class test must be provided by the due date and must be genuine attempts, to complete the course.
2. Presentation, including legible hand-writing, and the quality of English expression are considered to be integral parts of the assessment process. You may lose marks because of poor hand-writing, poor presentation and/or poor grammar.
3. Assessment marks prior to the final exam will be displayed on MyUni. Students are encouraged to check their marks and notify the lecturer-in-charge of any discrepancies.
4. Any assignment submitted after the advised due date will incur a penalty of 10% of the total available mark per calendar day.
 
Presentation of Assignments
• Retain a copy of all assignments submitted.
• All group assignments must be attached to a ‘Group Assignment Cover Sheet’, which must be signed and dated by all group members before submission. All team members are expected to contribute approximately equally to a group assignment.
 
Assignments, which do not comply with the University’s policy on plagiarism, may be refused.
 
Assignment Guidelines including Referencing Details
A copy of the Postgraduate Programs: Communication Skills Guide will have been given to you at the beginning of your program. This guide will assist you structure your assignments. A copy of the guide can also be downloaded from
 
This publication also provides guidelines on a range of other important communication skills including writing essays and management reports, making oral presentations etc. In preparing any written piece of assessment for your postgraduate studies it is important to draw on the relevant ‘literature’ to support critical analysis. Also essential is to reference the literature used. Correct referencing is important because it identifies the source of the ideas and arguments that you present, and sometimes the source of the actual words you use, and helps to avoid the problem of plagiarism. (Further information on plagiarism is provided later in this course outline.)
 
The Harvard system is the preferred style of referencing for this course. Guidelines for the use of this style of referencing can be found in the Communication Skills Guide. Further assistance with referencing is available from the Faculty’s Learning Support Advisors. The contact details are provided on page 6 of the Communication Skills Guide.
 
Late Assignment Submission
Students are expected to submit their work by the due date to maintain a fair and equitable system. Extensions will generally only be given for medical or other serious reasons. Other assignments or too much work are considered not to be valid reasons. All requests for extensions must be emailed to the lecturer in charge of the course before the due date. Each request will be assessed on its merits.
 
Return of Assignments
Every attempt is made to provide feedback on assignments to students within two (2) weeks of the due date.