Mercados de Obrigações
Código
400059
Unidade Orgânica
NOVA Information Management School
Créditos
7.5
Professor responsável
Jorge Miguel Ventura Bravo
Língua de ensino
Português. No caso de existirem alunos de Erasmus, as aulas serão leccionadas em Inglês
Objectivos
This course covers the valuation and application of a wide variety of fixed income securities. Fixed income securities are financial claims including pure discount bonds, coupon bonds such as Treasury notes and corporate bonds, floating rate notes, callable bonds, among many others, issued by public or private entities. In this course we focus on bond pricing, yield curve construction, Interest rate risk and immunization strategies, and term structure models. The goal is to introduce you to the analytical tools used in interest rate modeling and risk management.
Pré-requisitos
NA
Conteúdo
I. Análise e Avaliação de Obrigações
1. Breve caracterização dos mercados de obrigações
2. Analise e avaliação de obrigações sem risco de crédito e taxa fixa
3. Principais medidas de rendibilidade: YTM e TRR
4. Avaliação de obrigações com taxa variável
5. Risco de crédito
II. Métodos Directos e Indirectos de Estimação da Estrutura Temporal de taxas de Juro
6. Estrutura temporal de taxas de juro, taxas spot e taxas forward Bootstrapping
7. Nelson-Siegel-Svensson
8. Cubic splines
III. Risco de Taxa de Juro e Estratégias de Cobertura e de Imunização
9. Análise do risco de taxa de juro: Duration, Convexity e outras medidas de risco
10. Estratégias de Cobertura e Imunização contra choques paralelos e não paralelos da yield curve
Bibliografia
I. MAIN
1. Martellini, L., Priaulet, P. e Priaulet, S. (2003). Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies. John Wiley & Sons.
2. Veronesi, P. (2011). Fixed income securities: valuation, risk, and risk management. John Wiley & Sons.
3. Choudhry, M. (2001). The Bond and Money Markets: Strategy, Trading, Analysis. Butterworth-Heinemann
II. AUXILIARY
4. Albuquerque, Carlos António Torroaes (1996). Análise e Avaliação de Obrigações. Rei dos Livros, Lisboa
5. Bravo, J. M. (2001). Modelos de Risco de Taxa de Juro: Estratégias de Cobertura e Imunização. Dissertação de Mestrado em Economia Monetária e Financeira, ISEG-UTL.
6. Fabozzi, Frank J., 2007, “Bond Markets, Analysis and Strategies”, 7th Ed., Prentice-Hall International Ed., Englewood Cliffs, New Jersey.
7. Sundaresan, Suresh (2001). Fixed Income Markets and Their Derivatives. 2ª ed Southwestern
8. Tuckman, Bruce (2002). Fixed Income Securities: Tools for Today’s Markets. 2nd ed (University Edition), Wiley Finance
III. DATA SCIENCE TOOLS
DataCamp: www.datacamp.com
Método de ensino
- Expositional and Questioning Method Active Methods and Case Studies
- Investigation projects and practical applications.
- Knowledge development and learning capability.
Método de avaliação
The final grade for exams 1 & 2 is computed as follows:
§ Final exam: 60%
o The exam is closed-book and closed-notes. However, you may use a two-sided A4 formula sheet and a pocket calculator.
o minimum grade of 8/20
§ Cases and Problem sets: 40%