Instrumentos da Dívida

Código:

2MiF12

Sigla:

FIS

Áreas Científicas
Classificação	Área Científica
OFICIAL	Estudos de Gestão

Ocorrência: 2024/2025 - 2S

Ativa?	Sim
Unidade Responsável:	Agrupamento Científico de Gestão
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	47	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 fixed-income securities, including bond pricing, risk analysis, and investment strategies while equipping them with the tools to assess and manage interest rate, credit, and market risks. Additionally, the course aims to integrate sustainable finance principles into fixed-income investing, covering ESG factors, green bonds, and responsible investment strategies.

Resultados de aprendizagem e competências

This course in fixed-income securities equips participants with a comprehensive understanding of bond pricing, risk assessment, and investment strategies. Learners will develop the ability to evaluate fixed and variable rate bonds, measure returns, and analyze key yield determinants. They will gain expertise in assessing interest rate and credit risk, using duration, convexity, and immunization strategies to mitigate exposure. The course also covers bonds with embedded options, such as callable and convertible bonds, and explores the role of interest rate derivatives like futures, forward rate agreements, and options in managing risk. Additionally, participants will understand the growing field of sustainable finance in fixed income, including green bonds, ESG integration, and sustainable investment strategies. By the end of the program, learners will be equipped with the analytical and strategic skills necessary to navigate fixed-income markets effectively.

Modo de trabalho

Presencial

Programa

1. Bond Pricing

1.1. Fundamental concepts

1.2. Evaluation of fixed rate and variable rate bonds

1.3. Measuring the return

1.4. Determinants of the yield of a bond

2. Bond risk analysis

2.1. Interest rate risk: measures and immunization strategies

2.2. Credit risk

3. Bonds with options: characteristics and pricing

3.1. Callable bonds

3.2. Bonds with Warrants and Convertible Bonds

4. Interest rate derivatives

4.1. Futures and Forward Rate Agreements

4.2. Options

5. Sustainable Finance in Fixed Income Markets 

5.1. Introduction to Sustainable Finance in Fixed Income

5.2. Sustainable Bond Market: Instruments and Pricing

5.3. ESG Integration in Fixed Income Investment

Bibliografia Obrigatória

Fabozzi Frank J.; Bond markets, analysis and strategies. ISBN: 978-0-273-76613-1
Schoenmaker, D.; Schramade, W.; Principles of Sustainable Finance, Oxford University Press, 2019. ISBN: 978-0-19-882660-6
Hull, J.; Option, Futures and Other Derivatives, 10th Ed., Prentice Hall, 2021. 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
Trabalho prático ou de projeto	25,00
Exame	60,00
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

Continuous assessment:

- Group project: 25%

- Final exam: 60% (oficial date of Epoca Normal)

- Engagement: 15%

Exam:

- Final Exam: 70% (either Epoca Normal or de Recurso)

- Group project: 30% 


Notes to both regimes:
- Group project (compulsory): Guidelines provided in class
- 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.

Fórmula de cálculo da classificação final

The final grade will be computed with the following weights:

Continuous assessment:

- Group project: 25%

- Final exam: 60% (oficial date of Epoca Normal)

- Engagement: 15%

Exam:

- Final Exam: 70% (either Epoca Normal or de Recurso)

- Group project: 30% 

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 and group project.

Melhoria de classificação

Final Exam and oral examination.