PGP Elective Form 2010-2011 Page 1 of 3

Course offered byFINANCE & ACCOUNTING..... Area New Elective to be offered in PGP in the A.Y. 2010-2011 To : The Chair PGP DR. HARIPRASAD B.

From :

Name of the Course: Term :

ADVANCED FIXED INCOME SECURITIES IV _ ___TEN_____ ___NONE____ Credit Point

______

: ____TWO____

Total no. of Sessions : No. of Audit Permitted:

Duration of session: 75 minutes Max. No of sections : 2

Procedure for selecting participants if sections are less than 4: None Please specify if there is any prerequisite for the course? Yes / No

1. The participant should be registering for OFD course in Term IV 2. Name/s of Instructor(s): 1. PROF. HARIPRASAD B.

Profile of Instructor(s) (in case of outsider)

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PGP Elective Form 2010-2011 Page 2 of 3

Post Graduate Diploma in Management Academic Year 2010-11 Course Title Credits: : Term: ___V____

ADVANCED FIXED INCOME SECURITIES (AFIS) TWO Area: FINANCE & ACCOUNTING E-mail hariprasad@iimidr.ac.in

Course Instructors: Instructor 1 DR. HARIPRASAD B.

Objectives : The objective of the course is to familiarize the participants in analysing and valuing the complex fixed income securities and their derivatives. Pedagogy : A mix of pedagogy has been adopted to make it a participant-centric course. Conceptual inputs are provided through short lectures. Cases and exercises will be used wherever appropriate. Text : 1. Frank J. Fabozzi, Bond Market Analysis 5th edition, 2005, TMH, New Delhi. 2. John C. Hull and S. Basu, Options, Futures and Other Derivatives 7th edition, 2009, Pearson Education

Evaluation Group Components (less than or equal to 40%): Component

% age

Total Group Components Individual Components (at least equal to 60%): Component Quizzes Class participation End-term Exam Total Individual Components

0% % age 45 10 45 100%

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PGP Elective Form 2010-2011 Page 3 of 3

Session-wise plan: Session No. 1. 2. 3. Topic/s Mortgage Backed Securities CMOs and Stripped MBS Asset Backed Securities Reading Chapter 12 (Fabozzi) Chapter 13 (Fabozzi) Chapter 14 (Fabozzi) Case* Intimated in due course Travelers Mortgage Securities CMO (9286-061) American Express TRS Charge Card Receivables (9-293120) Intimated in due course Coca-Cola Harmless Warrants (HBS 9295-007) Exercises Tata Steel Limited: Convertible Alternative Reference Securities (Ivey 9B08N001) Exercises Exercises First American Bank Credit Default Swaps (HBS 9-203033)

4. 5. 6. 7.

Collateralized Debt Obligations Valuation of Interest rate options and interest rate agreements Credit risk measurement and pricing Valuation of convertible debt securities

Chapter 15 (Fabozzi) Chapters 16 and 25 (Fabozzi) Chapter 22 (Hull) Chapter 28 (Hull)

8. 9. 10.

Valuation of MBS Valuation of Credit derivatives Valuation of Credit derivatives (contd.)

Chapter 17 (Fabozzi) Chapter 23 (Hull) Chapter 23 (Hull)

Date: 24-Feb-2011

Signature of Course Instructor: ____________ Name of the Course Instructor: ______DR. HARIPRASAD B.______ Approval From The Area

Date:

Signature of Area Chair: Name of the Area Chair: ____________________________ Page 3 of 3