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導讀：《Fixed Income and Financial Institutions》 is a core course for undergraduate students majored in Finance. The fixed income part includes two sessions. The first session introduces the unique attributes that define fixed-income securities, then follows with an overview of global debt markets. Primary issuers, sectors, and bond types are also explained. Key concepts for the calculation and interpretation of bond prices, yields, and spreads and coverage of interest rate risk and key related risk measures are presented. The second session examines the fundamental elements underlying bond returns and risks with a specific focus on interest rate and credit risk. Duration, convexity, and other key measures for assessing a bond’s sensitivity to interest rate risk are introduced. An explanation of credit risk and the use of credit analysis for risky bonds concludes the session. The financial institution part focuses on financial intermediary institutions, including banks, investment banks and institutional investors. The functions and purposes of such institutions are analyzed. Their role in the Global Financial Crisis is a special area of interest. Upon finishing the course, students are expected to have a solid understanding of the basic fixed income securities, specific approaches for bond valuation and risk analysis, major types of financial institution globally and how they differ.

英文名：Fixed Income and Financial Institutions

學分/學時：2/32

一、課程的性質和任務

Fixed Income and Financial Institutionsis the core course for the finance program. This course focuses on the unique attributes of fixed -income securities, valuation and risk measurement of bonds and fundamentals of financial institutions. After finishing the course, the student should be able to describe fixed-income securities and their markets, yield measures, risk factors, valuation measures and calculate yields and values of fixed-income securities. Students should also be familiar with major financial institutions.

二、課程的基本要求

1. Describe basic features of a fixed-income security;

2. Describe how cash flows of fixed-income securities are structured;

3. Describe mechanisms available for issuing bonds in primary markets;

4. Describe types of debt issued by corporations;

5. Calculate a bond’s price given a market discount rate;

6. Describe and calculate the flat price, accrued interest, and the full price of a bond;

7. Define and compare the spot curve, yield curve on coupon bonds, par curve, and forward curve;

8. Calculate and interpret the sources of return from investing in a fixed-rate bond;

9. Define, calculate, and interpret Macaulay, modified, and effective durations;

10. Explain the four Cs (Capacity, Collateral, Covenants, and Character) of traditional credit analysis.

三、課程內容

（一）Fixed-Income Securities: Defining Elements

1.教學內容：Basic features include: the issuer of the bond, the maturity, par value, coupon rate and frequency, currency and legal and regulatory issues; Cash flow structure; Bond Market.

2.教學要求：Understand fundamentals of a fixed income security; describe how legal, regulatory, and tax considerations affect the issuance and trading of fixed-income securities; describe contingency provisions affecting the timing and/or nature of cash flows of fixed income securities and identify whether such provisions benefit the borrower or the lender.

3.重點、難點：Analyze bonds with embedded options.

4.教學建議：Use time line to introduce basic concepts.

（二）Fixed-Income Markets: Issuance, Trading, and Funding

1.教學內容：Classification of global fixed income markets, fixed-income indices; primary markets versus secondary markets; characteristics of different kinds of bonds.

2.教學要求：Describe classifications of global fixed-income markets; understand the difference between primary markets and secondary markets; describe various types of fixed income securities and their own characteristics.

3.重點、難點：Concepts of structured financial instruments.

4.教學建議：Illustrate fixed-income security evolvement.

（三）Introduction to Fixed-Income Valuation

1.教學內容：Bond valuation process, semiannual bond valuation process, yield curve.

2.教學要求：Understand how to use discounted cash flow model to value a bond’s price; identify the relationships among a bond’s price, coupon rate, maturity, and market discount rate (yield-to-maturity); compare, calculate, and interpret yield spread measures.

3.重點、難點：Measure accrued interest.

4.教學建議：Example illustration.

（四）Understanding Fixed-Income Risk and Return

1.教學內容：Three source of return: coupon and principal payments, reinvestment of coupon payments and capital gain or loss; Interest risks and reinvestment risks.

2.教學要求：Compute sours of return from investing in a fixed-rate bond; Know how to compute duration, portfolio duration, price value of a basis point.

3.重點、難點：Relationships among a bond’s holding period return, its duration, and the investment horizon;

4.教學建議：Example illustration.

（五）Fundamentals of Credit Analysis

1.教學內容：Fundamentals of credit risk, credit rating, the four Cs of credit analysis；credit risk by bond type.

2.教學要求：Describe credit risk and credit-related risks affecting corporate bonds; distinguish between corporate issuer credit ratings and issue credit ratings and describe the rating agency practice of “notching”; evaluate the credit quality of a corporate bond issuer and a bond of that issuer, given key financial ratios of the issuer and the industry.

3.重點、難點：Understand the concept of “notching”.

4.教學建議：Example illustration.

（六）Basics of Financial Institutions

1.教學內容：The role of financial systems, financial intermediaries, securities and markets，Issues in bank management，the global financial crisis.

2.教學要求：Student should be able to identify different types of financial institutions and their special characteristics understand the effect of financial crisis on various types of financial intermediaries.

3.重點、難點：Bank risk management.

4.教學建議：Case illustration.

四、本課程與其它課程關系

本課程的前繼課程有：《CFA中級金融學》，《CFA商業數理統計分析基礎》等。

五、學時分配

六、教材及參考書

教 材：

2019 CFA Program Curriculum Level I Volume 5；

SchweserNotes 2019 Level 1 CFA Book 5；

Mishkin, Frederic S. (2007). The Economics of Money, Banking, and Financial Markets, Eight Edition;