导读：《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

学分/学时：2/32

一、课程的性质和任务

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、课程的基本要求

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、课程内容

（一）Fixed-Income Securities: Defining Elements

1.教学内容：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.教学要求：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.重点、难点：Analyze bonds with embedded options.

4.教学建议：Use time line to introduce basic concepts.

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

1.教学内容：Classification of global fixed income markets, fixed-income indices; primary markets versus secondary markets; characteristics of different kinds of bonds.

2.教学要求：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.重点、难点：Concepts of structured financial instruments.

4.教学建议：Illustrate fixed-income security evolvement.

（三）Introduction to Fixed-Income Valuation

1.教学内容：Bond valuation process, semiannual bond valuation process, yield curve.

2.教学要求：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.重点、难点：Measure accrued interest.

4.教学建议：Example illustration.

（四）Understanding Fixed-Income Risk and Return

1.教学内容：Three source of return: coupon and principal payments, reinvestment of coupon payments and capital gain or loss; Interest risks and reinvestment risks.

2.教学要求：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.重点、难点：Relationships among a bond’s holding period return, its duration, and the investment horizon;

4.教学建议：Example illustration.

（五）Fundamentals of Credit Analysis

1.教学内容：Fundamentals of credit risk, credit rating, the four Cs of credit analysis；credit risk by bond type.

2.教学要求：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.重点、难点：Understand the concept of “notching”.

4.教学建议：Example illustration.

（六）Basics of Financial Institutions

1.教学内容：The role of financial systems, financial intermediaries, securities and markets，Issues in bank management，the global financial crisis.

2.教学要求：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.重点、难点：Bank risk management.

4.教学建议：Case illustration.

四、本课程与其它课程关系

本课程的前继课程有：《CFA中级金融学》，《CFA商业数理统计分析基础》等。

五、学时分配

六、教材及参考书

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;