固定收益证券课程教学大纲英文版-修改版

1、Syllabus of Fixed Income SecuritiesCourse Name：Fixed Income Securities Course Code： Credits: 2 Total Credit Hours: 32 Lecture Hours: 32 Experiment Hours: 0 Programming Hours: 0 Practice Hours: 0Total Number of Experimental (Programming) Projects 0 , Where, Compulsory ( ), Optional ( ).School：08 Scho

2、ol of Business Target Major：Finance, International economy and trade, Business Administration、Course Nature & Aims Fixed income securities is an independent course for students majoring in economics and finance. It is also an inspiring course for students to conduct in-depth research in the field of

3、 finance in combination with mathematical knowledge. The course focuses on theoretical teaching and skills training. The main purposes of the course are as follows: through teaching, students can understand the basic knowledge of fixed income securities; master the basic terminology of fixed income

4、securities industry; master the tools to analyze the change of interest rate and evaluate the value of fixed income securities and its derivatives; learn to manage the interest rate risk of fixed income securities; at the same time, cultivate students financial thinking and carry out corresponding f

5、inance Education of professional ethics.、Course Objectives 1. Moral Education and Character Cultivation.Through the course to learn the theoretical knowledge and practical investment skills related to fixed income securities, to have a comprehensive understanding of fixed income products. Understand

6、 the interaction process of participants and regulators in the process of financial market investment, understand how participants think, how to overcome the obstacles encountered, help students to establish scientific thinking methods and the spirit of facing challenges in the future financial prac

7、tice. From the perspective of market system improvement and regulatory capacity improvement of fixed income products in China, the course will integrate the education of socialist core values into the teaching content and all links of the whole teaching process, with typical factual cases as the car

8、rier, highlighting value guidance, knowledge teaching and ability training, To help students correctly understand the historical laws, investment psychological activities, basic national conditions and securities market system, grasp scientific world outlook and methodology, and promote the establis

9、hment of correct world outlook and values.2.Course ObjectivesThrough the study of this course, students qualities, skills, knowledge and abilities obtained are as follows：Objective 1. Mastering solid basic theories and knowledge of finance (Corresponding to Chapter 2,3,4,5,6,7,8, supporting for grad

10、uation requirements index 4,10)Objective 2. Mastering modern financial derivatives and the ability to solve practical problems (Corresponding to Chapter 4,5,6,7,8, supporting for graduation requirements index 5,9,12)Objective 3. Grasp the theoretical frontier and development trend of fixed income pr

11、oducts （Corresponding to Chapter 1,9, supporting for graduation requirements index 10,12）3. Supporting for Graduation RequirementsThe graduation requirements supported by course objectives are mainly reflected in the graduation requirements indices 2,4,5,6,9, as follows:Supporting for Graduation Req

12、uirementsCourse ObjectivesGraduation RequirementsIndices and Contents Supporting for Graduation RequirementsTeaching TopicsLevel of Support IndicesContentsObjective 1Practical application abilityProfessional skillsIndex 4-1,4-2,4-3,10-1,10-2Mastering solid financial basic theory and knowledge; estab

13、lishing appropriate analysis model for economic business, reasoning and solving the model; mastering mathematical and natural science knowledge, and applying it to modeling and solving financial business problemsChapter 2,3,4,5,6,7,8HObjective 2Application ability of financial analysis tools Decisio

14、n making ability of investment and financing12.Career development skillsIndex 5-1,5-2,9-1,9-2,12-2,12-3Proficient in using computers for business work; proficient in using modern financial measurement technology and data processing methods for professional data processing, design model and analysis;

15、 able to actively learn, have the initiative and initiative in the learning process, and master effective learning methods; good writing ability, proficient in the use of theoretical and practical knowledge; independent completion Writing papers, research reports and other forms of materials under t

16、he guidance of the instructorChapter 4,5,6,7,8HObjective 3Professional skills12.Career development skillsIndex 4.1,4.29.1,9.2Flexible use of professional knowledge in financial practice; be able to identify, sort out and process all kinds of financial information at home and abroad, so as to provide

17、 countermeasures and suggestions for the government, enterprises, financial institutions and other departments to solve practical problems; master the basic theory and method of financial investment and financing decision-making judgment; combine with securities investment, risk management, risk inv

18、estment and other coursesChapter 1,9H、Basic Course Content Chapter 1 basic knowledge of bonds (supporting course objectives 1,3) 1.1definition of fixed income securities and bonds 1.2 bond risk 1.3 types of bonds 1.4 types of Chinese bondsTeaching Requirements: Through the study of the discipline de

19、velopment and historical context of the basic course of fixed income securities, students are required to understand the background and development process of fixed income securities, the core content of fixed income securities and the differences between fixed income securities and traditional fina

20、ncial instruments, Understand the main focus areas and core of fixed income products, identify the main fixed income products issued by various countries, master and have the theoretical basis and practical operation ability of traditional financial engineering and investment, and preliminarily have

21、 the understanding ability of fixed income securities learning.Key Points：Basic tools for analyzing fixed income productsDifficult Points：Differences between fixed income securities and traditional financial instrumentsChapter 2 bond market and bond trading (supporting course objectives 1) 2.1 defin

22、ition and classification of fixed income securities market 2.2 bond issuing market 2.3 circulation market and price formation mode of bonds 2.4 settlement and trading mode of bonds 2.5 Chinas bond market 2.6 credit rating Teaching Requirements: Through the study of bond market and bond trading rules

23、, the students can distinguish and clarify the characteristics of bonds and their own shortcomings and defects. Through the analysis of the practice of issuing market, the performance of market reaction and other specific cases and data display, students are required to master the differences betwee

24、n the money market and the capital market, understand the settlement and trading methods of bonds, and the financial institutions The role of bond issuance, and be able to understand and elaborate Chinas national debt, understand the basic bond rating tools.Key Points：The form of bond priceDifficult

25、 Points：Bond ratingChapter 3 price of bonds (supporting course objectives 1) 3.1 time price of currency 3.2 value of bonds 3.3 calculation of bond value under complex circumstances Teaching Requirements: In this chapter, through the observation of bond price in the actual bond market, we can underst

26、and and master the basic theoretical knowledge about bond price determination, understand the concept of time price of money, and be proficient in calculating the time value of money. On this basis, understand the concept of bond value, distinguish the difference between bond and currency, be able t

27、o calculate the time price of bond, master the basic method of bond value determination, and be familiar with the modeling and calculation process of bond value in various complex situations. Key Points: Time value of money Difficult Points: The method of determining bond value in different situatio

28、nsChapter 4 Yield of bonds (supporting course objectives 1,2) 4.1 measurement of bond yield 4.2 potential sources of total bond income 4.3 measuring the historical performance of bond portfolio Teaching Requirements: In this chapter, through the observation of the actual bond market, understand the

29、concept and importance of bond yield. Through the study of bond yield modeling and calculation methods, we can measure the yield of different bonds in different markets. At the same time, through the study and attempt of cases, we can understand the potential source of bond total yield, and can spec

30、ifically analyze and calculate the total yield source of a given bond. Further through the analysis of market data, we can understand how to measure the historical performance of bond portfolio, so as to grasp the basic ability to analyze the advantages and disadvantages of different bonds. Key Poin

31、ts: Bond yield measurement method Difficult Points: Calculation of bond yieldChapter 5 measurement of bond price volatility (supporting course objectives 1,2) 5.1 relationship between bond price and yield 5.2 characteristics of bond price volatility 5.3 measurement of bond price volatility I: base p

32、oint price value and return value of price change 5.4 measurement of bond price volatility II: convexity and duration Teaching Requirements: In this chapter, through the observation of the price changes of different bonds in the actual bond market at different times, we can understand the concept an

33、d importance of bond volatility. Through the comparative analysis of bond price and yield, we can understand the relationship between bond price and yield. At the same time, we can understand the characteristics of bond price volatility through case study and trial. Be proficient in using bond price

34、 volatility measurement tools, such as base point price value, yield value of price change, duration, etc. to calculate and measure bond price volatility. Key Points: Measurement of bond price volatility Difficult Points: How to use specific tools to measure the volatility of bond priceChapter 6 int

35、erest rate determination and interest rate structure (supporting course objectives 1,2) 6.1 overview of interest rate 6.2 determination of nominal interest rate 6.3 interest rate risk structure 6.4 term structure of interest rate 6.5 derivation of yield curve 6.6 using yield curve to calculate bond

36、price correctly Teaching Requirements: In this chapter, through the observation of different bond interest rates in the actual bond market, understand the concept and importance of bond interest rate, understand the nature of nominal interest rate, understand its decisive factors and learn to calcul

37、ate. Understand the risk structure and term structure of interest rate. Through the analysis of the actual yield curve, the derivation formula and calculation method of the yield curve are understood, and the corresponding yield curve can be deduced for a given bond. On this basis, master the method

38、 of using yield curve to calculate bond price correctly. Key Points: Derivation of yield curve Difficult Points: Reverse the price of bond when the yield curve is knownChapter 7 bond portfolio management strategy (supporting course objectives 1,2) 7.1 selection of bond portfolio strategy 7.2 negativ

39、e bond portfolio management 7.3 active bond portfolio management 7.4 term analysis 7.5 change strategy of yield curve 7.6 contingent immunization strategy Teaching Requirements: In this chapter, through the introduction of cases in the actual market, we can understand the meaning and importance of b

40、ond portfolio strategy in the actual bond market. On this basis, we can understand the background and effectiveness of the negative portfolio strategy and positive strategy, and can use different portfolio management methods in different situations. By analyzing the actual yield of bonds, we can ana

41、lyze the maturity of bonds, adopt different yield curve strategies, understand and flexibly use contingent immune strategies. Key Points: Various bond combination strategies Difficult Points: Choosing appropriate strategies based on actual market dataChapter 8 Introduction to interest rate derivativ

42、es (supporting course objectives 1,2) 8.1 forward rate contracts and interest rate futures 8.2 interest rate options 8.3 interest rate swap contract 8.4 upper limit, lower limit and double limit of interest rate Teaching Requirements: In this chapter, through the case introduction in the actual mark

43、et, we can understand the meaning and importance of several common interest rate derivatives in the actual market, on this basis, we should focus on understanding the similarities and differences of forward interest rate contracts and interest rate futures and their pricing methods, distinguish the

44、differences between interest rate options and ordinary options, and be able to use mathematical tools to price interest rate options; Through the introduction of the case, we can understand the role of interest rate swap contract and its pricing method; understand the differences between the upper l

45、imit of interest rate, the lower limit of interest rate and the double limit of interest rate, and put forward the background, and be able to price it in a simple case. Key Points: Background and function of various interest rate derivatives Difficult Points: Pricing such productsChapter 9 credit ri

46、sk (supporting course objectives 1, 3) 9.1 credit risk classification of fixed income securities 9.2 credit risk analysis and measurement of fixed income securities 9.3 credit risk management of fixed income securities Teaching Requirements: In this chapter, through the introduction of cases in the

47、actual market, we can understand the common financial risks in the actual market. On this basis, we can understand the causes and manifestations of credit risk, and the similarities and differences between this risk and other financial risks. Master the classification of credit risk, and use mathema

48、tical tools to analyze and measure the credit risk in fixed income securities. Familiar with various credit risk management tools, and be able to manage the credit risk in fixed income securities. Key Points: Analysis and measurement of credit risk Difficult Points: Credit risk management of fixed i

49、ncome securities、Table of Credit Hour DistributionTeaching ContentIdeological and Political Integrated Lecture HoursExperiment HoursPractice HoursProgramming HoursSelf-study HoursExercise ClassDiscussion HoursChapter 1After the outbreak of the new crown epidemic, the content of policy response and m

50、arket response should be integrated into classroom teaching, and the effect of effective measures should be explained2Chapter 2Introducing the continuous reform process of the issuing system of Chinas securities market3Chapter 3The effectiveness of Chinas securities market and the course of financia

51、l system reform31Chapter 4The development of financial market and the improvement of international influence31Chapter 5Financial services real economy4Chapter 6Guard against systemic financial risks31Chapter 7Competition of financial strength and participation of China in international financial mar

52、ket4Chapter 8Financial services real economy32Chapter 9Basic concepts of financial market risk prevention and financial stability2Total275Sum32、Summary of Experimental (Programming) Projects No experiment (programming) session 、Teaching MethodThis course is mainly taught by teachers in class, supple

53、mented by self-study and homework based on course video materials. During the teaching process, the interaction between teachers and students should be strengthened and heuristic teaching should be emphasized; at the same time, the discussion teaching method should be adopted, which will be provided

54、 by teachers. Students will prepare for class in groups, and then discuss in class, so as to improve their teamwork ability. In the process of classroom teaching, appropriate discussion activities should be carried out according to the specific teaching content, and the ideas of putting forward prob

55、lems, analyzing problems and solving problems should be adopted to teach the important knowledge points, so as to cultivate the corresponding ability of students imperceptibly; the importance of practical experience should be emphasized and learning in practice should be emphasized. 、Course Assessme

56、nt and Achievement EvaluationAssessment Methods：ExaminationExamination Formats：Closed-bookGrading Methods：Hundred-mark SystemThe assessment content focuses on the assessment of students ability to acquire knowledge, analyze and solve problems with the knowledge they have learned, practical ability a

57、nd innovation ability, etc., and adopts various forms (such as defense, test, paper, experiment report, classroom discussion, operation skills, etc.), multiple stages (usually test, assignment evaluation, etc.) and the whole process assessment. The assessment results are divided into three parts: homework, classroom questions and attendance, and final exam, accounting for 20%, 20% and 60% respectively. The final grade is determined by the final exam paper grade. Increase the proportion of process assessment and stage assessment results, reduce the proportion of final scores, and adopt