固定收益证券-教学大纲-

《固定收益证券》教学大纲

“Fixed Income Securities” Syllabus

课程编号：150092B

课程类型：专业选修课

总学时：32 讲课学时：32 实验（上机）学时：0

学分：2

适用对象：金融学（金融经济）

先修课程：无

Course code: 150092B

Course Type: Optional field course

Credit hours: 32 Lectures: 32 Practice: 0

Credits: 2

Major: Finance（Finance and Economics Experimental Class）

Prerequisite: None

一、课程的教学目标（Learning objective）

固定收益证券是金融类专业本科生的专业课。其在行业内的重要性体现在以下三点：第一，目前是全球交易的金融资产中固定收益证券比重最大。其次，机构投资者，比如银行、养老基金或是共同基金所设计的投资组合中固定收益证券和利率的衍生工具占比最大。最后，理解利率的变化并对其建模是实行好的风险管理的重要前提。该课程的教学对培养与训练学生金融学思维方式，提高其综合素质和能力有非常重要的意义。本课程教学的主要目标是培养学生掌握固定收益类证券的基本理论知识，使学生能够将所学知识应用到将来所从事的金融证券行业的工作中去，或为本科以后阶段的学习打下坚实的理论基础。

Fixed income securities is a field course in Finance major. The course is an important course for three reasons. First, fixed income securities constitute by far the largest portion of globally traded assets. Institutional investors, such as banks, pension funds or mutual funds, have most of its trading portfolio composed of fixed income securities (treasury bills and bonds) and interest rate derivatives. Second, in developed financial markets, a significant part of capital for business is raised through issuing of corporate bonds. Last, but not least, proper understanding of changes in the interest rates and the ability to model them is a prerequisite for a good risk management. The instruction of fixed income securities plays very important role in building up students’ thinking as a practitioner in finance industry for the learners, and improving their comprehensive abilities to work and study. The aim of this course is to help student understand the basic theories and knowledge of fixed income securities, and apply the knowledge in this course to their future work in finance industry; or be well prepared for their future study in this field.

二、教学基本要求（Teaching requirements）

（一）教学内容(teaching materials)

这门课主要覆盖了以下十部分内容：(1)固定收益证券的概念、债券的种类。(2)债券发行市场、流通市场、债券交易、债券评级。(3)货币的时间价值、债券价值、复杂情况下债券价值等的计算。(4)债券收益率。(5)凸性和久期的概念，票面利率大小、到期时间、初始收益率与债券价格波动的关系。(6)名义利率决定理论、利率期限结构理论。(7)利率期货、利率期权、利率掉期。(8)利率衍生工具的定价。(9)可转换债券定价与收益分析。(10)债券投资组合管理策略。

The course covers (1) the concept of fixed-income securities, types of bond. (2) bond issue market, secondary market, bond trading, bond rating. (3) the time value of money, bonds’ value,

the calculation of bond value under complex conditions. (4) bonds yields. (5) concept of convexity and duration, relationship of the coupon rate, maturity time, initial yield to bond price volatility.

(6) the theory on nominal interest rate decision, on the interest rate term structure. (7) interest rate futures, interest rate options, interest rate swaps. (8) pricing of interest rate derivatives. (9) the analysis of convertible bond’s pricing and yield. (10) Bond portfolio management strategies.（二）教学方法和手段

这门课理论性较强，以理论教授为主，学生练习为辅。同时安排“读、写、议”课堂以便学生能够深入理解基本原理；组织学生分组进行主题课堂讨论。

The course is mainly theoretical. The main teaching technique will be lecturing companied by students’ tutorial presentation. The class will involve reading, writing and discussion to help students fully understand the course materials. In-class group presentation will also be important parts of the course.

（三）考核方式(Assessment and Grading)

该科满分一百，由以下各部分按不同权重组成。

The total score is 100，the weight of different parts is as followed.

类别(Components)权重(Weight)

平时成绩(Coursework)30%

1. 随堂小测验(In-Class Quiz) 15%

2. 课堂讲演(Tutorial Presentation) 15%

闭卷期末考试(Final Exam)70%

总共(Total)100%

三、各教学环节学时分配（Course schedule）

教学课时分配Class schedule