Instrumentos da Dívida

Código:

2MiF12

Sigla:

FIS

Áreas Científicas
Classificação	Área Científica
OFICIAL	Estudos de Gestão

Ocorrência: 2020/2021 - 2S

Ativa?	Sim
Curso/CE Responsável:	Mestrado em Finanças

Ciclos de Estudo/Cursos

Sigla	Nº de Estudantes	Plano de Estudos	Anos Curriculares	Créditos UCN	Créditos ECTS	Horas de Contacto	Horas Totais
MIF	45	Plano Oficial a partir de 2020-2021	1	-	3	21	81

Língua de trabalho

Inglês

Objetivos

The course aims to give the students an advanced understanding of debt markets: their characteristic elements, procedures for market issuing and placement.

Resultados de aprendizagem e competências

The course aims to give the students an advanced understanding of debt markets: their characteristic elements, procedures for market issuing and placement. Particular emphasis will be put on analyzing and managing risks related to investments in bonds. Concerning evaluation, the students should master the techniques for the valuation of bonds and bonds with options - bonds with call options and put options, convertible bonds and bonds with warrants. The students should also know the main instruments for interest rate derivatives and have the ability to integrate them into investment strategies and risk management.

Modo de trabalho

Presencial

Programa

1. Introduction

1.1. Definition of bonds

1.2. Basic characteristics

1.3. Types of bonds

1.4. Risks of debt instruments

2. Bond Pricing

2.1. Fundamental concepts

2.2. Evaluation of fixed rate and variable rate bonds

2.3. Measuring the return

2.4. Determinants of the yield of a bond

3. Bond risk analysis

3.1. Interest rate risk

3.1.1. Definition and measures: Duration and Convexity

3.1.2. Immunization strategies: Conventional and Contingent

3.2. Credit risk

3.2.1. Credit analysis of the issuer

3.2.2. Rating and risk premium on bonds

4. Bonds with options: Characteristics and assessment tools

4.1. Callable bonds

4.2. Bonds with Warrants and Convertible Bonds

5. Interest rate derivatives

5.1. Futures and Forward Rate Agreements

5.2. Options

Bibliografia Obrigatória

Fabozzi Frank J.; Bond markets, analysis and strategies. ISBN: 978-0-273-76613-1
John Hull; Option, Futures and Other Derivatives, 10th Edition, Prentice Hall, 2018. ISBN: 978-0134472089

Bibliografia Complementar

Fabozzi, Frank; Mann, Steven; The Handbook of Fixed Income Securities, 8th Edition, McGraw Hill, 2012. ISBN: 978-0-07-176847-4
Pinto, Jerald E.; Petitt, Barbara S.; Pirie, Wendy L. ; Fixed Income Analysis Workbook (CFA Institute Investment Series), 3rd Edition, John Wiley & Sons, 2015. ISBN: 978-1-118-99950-9

Métodos de ensino e atividades de aprendizagem

Flipped classroom: the principle underlying this methodology assumes that the student will prepare before hand the topics assigned to each class. As a consequence the student will have a greater grasp and critical opinion on those topics so we can free class time to solve cases and exercises with the teacher support. For the preparation of each class the students have available in Moodle videos and reading sugestions per class. 
Each class starts with a quiz that will allow the student to assess the effectiveness of the preparation before the class. Afterwards, specific topics will be addressed followed by the clarification of all the questions risen during that preparation. The second part of the class is dedicated to problem-solving and case analysis in groups. 

Tipo de avaliação

Avaliação distribuída com exame final

Componentes de Avaliação

Designação	Peso (%)
Participação presencial	15,00
Teste	60,00
Trabalho prático ou de projeto	25,00
Total:	100,00

Componentes de Ocupação

Designação	Tempo (Horas)
Elaboração de projeto	15,00
Estudo autónomo	45,00
Frequência das aulas	21,00
Total:	81,00

Obtenção de frequência

One of the following continuous assessment regimes:

1) Option 1

- Group project: 25%

- 2 interim exams: 60%

- Engagement: 15%

2) Option 2

- Final Exam: 70%

- Group project: 30% 

Notes:
- Group project (5 students): Guidelines provided in class
- Interim exams: both exams are compulsory
- Engagement: participation in the quizzes and peer assessment of group project 
There is a minimum grade of 60 points (out of 200) for every of these components.

Exam:

- Final Exam:  100%

Fórmula de cálculo da classificação final

The final grade will be computed with the following weights:

- 2 interim exams: 60%

- Group project: 25% (groups of 5 students)

- Engagement: 15% 

Minimum Grade for every assessment component: 60 points (out of 200 points).

Provas e trabalhos especiais

Group assignment: the subjects will be discussed in class

Avaliação especial (TE, DA, ...)

Final Exam.

Melhoria de classificação

Final Exam and oral examination.