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    MGT 805-E1 Portfolio Management II - Fixed Income - Fall 2015

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    jpaine
    This 3-sentence summary provides the essential information about the document: This document outlines the course information, contact details, required readings, software, description, objectives, requirements, and schedule for the MGT 805 Portfolio Management II: Fixed Income course taught in the fall of 2015. The course will be taught by Professors Saman Majd and Eric Rosenfeld and TA Garence Staraci, will use Bloomberg and Factset software, and cover fixed income markets and products with a focus on the US Treasury bond market. The course grade will be based on homework, a final, and attendance/participation, and the schedule lists class meeting dates and assigned readings for each week.

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    MGT 805-E1 Portfolio Management II - Fixed Income - Fall 2015

    Uploaded by

    jpaine
    28 views5 pages
    This 3-sentence summary provides the essential information about the document: This document outlines the course information, contact details, required readings, software, description, objectives, requirements, and schedule for the MGT 805 Portfolio Management II: Fixed Income course taught in the fall of 2015. The course will be taught by Professors Saman Majd and Eric Rosenfeld and TA Garence Staraci, will use Bloomberg and Factset software, and cover fixed income markets and products with a focus on the US Treasury bond market. The course grade will be based on homework, a final, and attendance/participation, and the schedule lists class meeting dates and assigned readings for each week.

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    MGT 805-E1 Portfolio Management II - Fixed Income - Fall 2015(2)

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    This 3-sentence summary provides the essential information about the document: This document outlines the course information, contact details, required readings, software, description, objectives, requirements, and schedule for the MGT 805 Portfolio Management II: Fixed Income course taught in the fall of 2015. The course will be taught by Professors Saman Majd and Eric Rosenfeld and TA Garence Staraci, will use Bloomberg and Factset software, and cover fixed income markets and products with a focus on the US Treasury bond market. The course grade will be based on homework, a final, and attendance/participation, and the schedule lists class meeting dates and assigned readings for each week.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    28 views5 pages

    MGT 805-E1 Portfolio Management II - Fixed Income - Fall 2015

    Uploaded by

    jpaine
    This 3-sentence summary provides the essential information about the document: This document outlines the course information, contact details, required readings, software, description, objectives, requirements, and schedule for the MGT 805 Portfolio Management II: Fixed Income course taught in the fall of 2015. The course will be taught by Professors Saman Majd and Eric Rosenfeld and TA Garence Staraci, will use Bloomberg and Factset software, and cover fixed income markets and products with a focus on the US Treasury bond market. The course grade will be based on homework, a final, and attendance/participation, and the schedule lists class meeting dates and assigned readings for each week.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 5

    COURSE INFORMATION

    Course Number: MGT 805


    Course Title: Portfolio Management II: Fixed Income
    Term and Year: Fall 2015
    Class Meeting Time, Day: 9:00am-12:00pm: Nov 13, Dec 4, Dec 18, Jan 8, Jan 22, Feb 5
    Course Support:

    CONTACT INFORMATION

    Professor(s) TA(s)
    Name: Saman Majd and Eric Rosenfeld Name: Garence Staraci
    Office Location: 4th floor, office 4523 E-mail Address: [email protected]
    E-mail Address: [email protected]
    [email protected] Review Sessions: To be scheduled
    Office Hours: By appointment

    TEXTBOOKS AND RECOMMENDED/REQUIRED READINGS

    Textbook(s): Fixed Income Markets and Their Derivatives, Suresh Sundaresan, 3rd ed., 2009.
    Options, Futures and other Derivatives, John Hull, 8th ed., 2012.
    Required Readings: Refer to reading list; Lecture slides will be available for download from the class
    website after each lecture. Some slides will contain references to further reading.
    Optional Readings (on course reserve):
    Fixed Income Securities, Bruce Tuckman & Angel Serrat, 3rd ed., 2011.
    The Trader’s Guide to Key Economic Indicators, Richard Yamarone, 3rd ed., 2012.

    SOFTWARE USED

    Bloomberg and Factset.

    COURSE DESCRIPTION AND OBJECTIVES

    Course Description: An introduction to fixed income markets and products with an emphasis on the US
    Treasury bond market.

    Course Objectives: This course covers the basic tools and models required for valuation and risk
    management of fixed income products.

    COURSE REQUIREMENTS AND SPECIFIC GRADING POLICY

    Course Requirements
    Homework 30%
    Final 55%
    Attendance and Participation 15%

    Grades
    There are five grades at Yale SOM: High Honors, Honors, Proficient, Pass, and Fail. The grade distribution
    that faculty use, and the policy with respect to the reporting of grades on official transcripts, are
    described below.
    HH: High Honors. Up to top 10 percent of class. Reported on transcript.
    H: Honors. Next 25 percent. Reported on transcript.
    PR: Proficient. Next 55 percent. Not reported on transcript.
    P: Pass. Lowest 10 percent in core courses; guideline of 5 percent in electives. Not reported on
    transcript.
    F: Fail. An absolute standard; no minimum requirement. To the extent it is used, the F grade
    counts toward the 10 percent Pass category. Not reported on transcript.*
    Once grades are officially recorded, they may not be changed except in cases in which a mathematical
    error has been made in computing the grade or a clerical error has been made in recording it. Students
    seeking correction to a grading error must contact the instructor within two weeks (ten working days)
    from the receipt of the grade.
    If a student takes a course in another school at Yale, the SOM registrar will ask the instructor to submit
    the grade according to the SOM grade scale.
    *F grades in core courses require remediation. The failed core course is not reflected on the official
    transcript until remediated. Elective courses with F grades are not reflected on the official transcript.
    Students must replace failed electives with other electives to meet total credit requirements for
    graduation.

    DESCRIPTIONS OF ASSIGNMENTS/PROJECTS
    The readings for each week are to be done after the class session (but of course students may read them
    ahead of class). A weekly problem set will be assigned and is due before the following class. The problem
    sets will be graded and the TA will cover the solutions in review sessions.

    YALE SOM HONOR CODE

    Guiding Principles
    Honesty is fundamental to the profession and practice of management. It is therefore the bedrock
    premise of management education at Yale. To the community of students, faculty, and staff of the Yale
    School of Management, honesty and integrity build the trust essential to a free and lively exchange of
    ideas.
    • The Yale SOM Honor Code is intended to foster the School’s exceptional learning environment and to
    support conduct that will distinguish the faculty, staff, and students in their lives as managers, at
    school, at school-related functions, and in the larger management community. The Honor Code will
    be referred to as the “Code” hereafter.
    • The Honor Committee has jurisdiction over all Code violations including matters of academic
    dishonesty and egregious violations of the social and professional norms of behavior.

    Syllabus Template Page 2


    Academic Integrity
    The Yale SOM community, including faculty, staff, and students, supports the highest standards of
    academic integrity. All academic work affords an unparalleled opportunity to put forward new and
    innovative ideas; at SOM, we aspire to always acknowledge the ideas upon which new solutions are
    based.
    • When working on any assignment with a team, students must clarify the expectations for each
    member of the team.
    • Faculty will provide clear guidelines for students on the parameters of any group work, as well as
    guidelines for proper citation.
    • A student will contact the professor for clarification if there is a question about the way in which the
    group work is to be completed.
    • Students are encouraged to consult print resources as well as online resources, available on the SOM
    portal, concerning proper citation.
    Community Standards
    A hallmark of the Yale SOM community is its inclusive nature, which respects the diverse backgrounds
    and views of its members. SOM faculty, students, and alumni aspire to standards of conduct while at
    Yale, and as they function in the larger management community, that will further distinguish SOM as a
    center of integrity and fair dealing.
    • Students must uphold, among themselves, the highest standards of professional behavior.
    • Students must strictly adhere to ethical guidelines during the job search—with interviewers,
    prospective employers, and their student colleagues.
    • Students must remember that they represent the School as they take part in activities in the
    University, New Haven, and the larger management community.
    • Standards of individual responsibility in the job search, and in the use of School and University
    information technology resources, are detailed under Policies and Guidelines of the Career
    Development Office and Policies on the Use of Information Technology Facilities in this chapter.

    GENERAL STATEMENTS

    Attendance
    M.B.A. for Executives students are expected to attend classes regularly, be on time, and be prepared to
    contribute to class discussion. We recognize that there are times when circumstances may cause a
    student to miss class. If these absences are due to religious observance, unplanned hospitalization,
    extended illness, or a personal or family emergency that directly affects the student or an immediate
    family member, the absence would be considered excused. Students will be informed about whether
    their absence is excused or unexcused by a program administrator. Whenever students are unable to
    attend class, they are required to notify a program administrator and then must inform the instructors. If
    the circumstances make advance notice impossible, an e-mail as soon as possible after the missed class
    is the next best alternative. The student must make arrangements with a classmate to get notes and
    copies of class handouts, and to complete all missed work.

    Since participation and attendance are critical to the M.B.A. for Executives experience for students, their
    classmates, and study groups, an unexcused absence (any absence that does not fall into those listed
    above) may jeopardize a student’s academic standing in class. Under these circumstances, those

    Syllabus Template Page 3


    students who miss more than 15 percent of the total number of class sessions for any given course may,
    at the discretion of the faculty, receive a final course grade of Pass or Fail. The threshold at which
    unexcused absences may affect a student’s grade varies depending on the number of the sessions in the
    class, as follows:
    Six-session class 1 class session or 3 hours
    Four-session class ½ class session or 1½ hours

    No unexcused absences are allowed for a two- or three-session class. If a student has to leave town for a
    personal or family emergency, or will be out of class for an extended period because of illness, he/she
    must first contact the program director.

    Using cell phones, browsing the Internet, or reading e-mail during class distracts the instructor and
    classmates and interrupts the learning experience. Cell phones and other electronic devices are to be
    turned off during class. Laptops and tablets are not to be used in the classroom unless explicitly
    permitted by the instructor.

    Course Recording
    All EMBA course lectures are recorded with permission of the faculty and posted to the course
    site
    Laptop/Device Policy
    Usage not allowed without the express permission of the instructor.

    DETAILED OUTLINE OF CLASS SESSIONS

    Homework assignments will be available for download from the class website after the class session in
    which they are assigned. We recommend that you use spreadsheets to answer homework questions
    where possible. You might find these spreadsheets useful in future exercises and in the exam.

    Weeks Topics Readings Assignments


    Pre-class Sundaresan readings.
    Week 1 Introduction; US Treasury Sundaresan and Hull. Homework #1 due 12/4
    11/13 bond market; spot rates; Sundaresan 2.3-2.5 is
    forward rates; yield curve; optional.
    interest rate risk-duration
    Week 2 Interest rate risk – convexity; Sundaresan and Hull; Homework #2 due 12/18
    12/4 Money market rates; Repo Tuckman optional.
    and reverse repo; Libor and
    Eurodollar futures; Futures vs.
    forwards.
    Week 3 Swap basics; Swap yield curve; Sundaresan and Hull; Homework #3 due 1/8/16
    12/18 Swaps vs. treasuries; Tuckman optional.
    Counterparty risk; Swap

    Syllabus Template Page 4


    Weeks Topics Readings Assignments
    spreads and financial crises;
    TED spread and OIS swaps.
    Week 4 Review basics of option Hull readings. Homework #4 due 1/22/16
    1/8/16 pricing; Black-Scholes-Merton
    framework; Hedging and risk
    management
    Week 5 Value at Risk; Caps, floors and Sundaresan and Hull; Homework #5 due 2/5/16
    1/22/16 swap options Tuckman optional.
    Week 6 Mortgages; Credit Sandaresan and Hull;
    2/5/16 Tuckman optional.

    DETAILED OUTLINE OF READINGS

    Hull (required) Tuckman


    Title Sundaresan (required)
    (optional)
    Digital Digital
    Weeks Section/Pages Section/Pages Section/Pages
    Location Location
    Pre-class 3-3.3 (p. 45-51); 1011-1165;
    8.1.4 (p.138-139) 2692-2714
    Week 1 Ch. 1 (p. 3-23); 263-664; 4-4.8 (p. 75-92); 75-92; 1-19; 47-58; 62-
    11/13 2-2-2.2 (p. 25.33); 683-829; 4.10 (p. 93-96); 93-96; 65; 74-82; 87-
    2.3-2.5 (p.33-41); 829-969; 6.1 (p. 129-131) 129-131 93; 95-104;
    8-8.1.0 (p.131-134); 2568-2636; 142-149.
    8.2-8.4 (p.143-157); 2279-3020;
    7-7.2.3 (p. 105-117) 2177-2350
    Week 2 7.4 (p. 119-125); 2422-2492; 4.9 (p. 92-93) 149-152; 327-
    12/4 3.3-3.5 (p. 51-56); 1130-1234; 6.3-6.5(p. 137-144) 349; 351-349;
    5-5.6 (p. 67-84); 1479-1793; 351-363; 366-
    15-15.2 (p. 303-311) 5666-5810 371; 401-411.
    Week 3 16-16.2 (p. 325-339); 6013-6257;
    7-7.8 (p. 148-165); 435-449
    12/18 16.3-16.5 (p. 339-348) 6257-6440
    7.11 (p. 171-173)
    Week 4 9-9.2 (p.194-198);
    1/8/16 14-14.9 (p. 299-316);
    17.8 (p. 370-372);
    18.4-18.12 (p. 380-399)
    Week 5 8.1.2-8.1.3 (p.136-138); 2658-2692; 21-21.3 (p.471-481); 483-490
    1/22/16 15.5-15.6 (p.316-324); 5888-6008; 28.1-28.3 (p. 652-663)
    16.6-16.7 (p. 348-352) 6437-6509
    Week 6 Ch. 11, 12; 23-23.9 (p. 521-538); Ch. 20; Ch. 19
    2/5/16 Ch. 10, 18, 19 24-24.3 (p. 547-555)

    The instructor reserves the right to modify and/or change the course syllabus as needed during the
    course.

    Syllabus Template Page 5

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