周教授CFA金融课程：2019 CFA Level II Fixed Income

STUDY SESSION 12 Fixed Income (1)

This study session introduces the yield curve and key relationships underlying its composition. Traditional and modern theories and models explaining the shape of the yield curve are presented. An arbitrage-free framework using observed market prices is introduced for valuing option-free bonds. This approach also holds for more complex valuation of bonds with embedded options and other bond types.

READING ASSIGNMENTS

Reading 34 The Term Structure and Interest Rate Dynamics

Reading 35 The Arbitrage-Free Valuation Framework

STUDY SESSION 13 Fixed Income (2)

This study session continues use of the binomial valuation method to value bonds with embedded options. Sensitivity to interest rates and interest rate volatility are key considerations. Option-adjusted spreads are introduced for the evaluation of risky bonds. Credit analysis concepts, tools, and applications are then discussed along with the term structure of credit spreads. The study session concludes with credit default swaps and their use in managing credit exposure.

READING ASSIGNMENTS

Reading 36 Valuation and Analysis: Bonds with Embedded Options

Reading 37 Credit Analysis Models

Reading 38 Credit Default Swaps

Exam Weight: 10-20%

Fixed Income 固定收益投资