Interest Rate Markets and Trading : Capital, Markets

Crédit : 3 ECTS
Langue du cours : anglais

Volume horaire

  • CM : 24 h

Compétences à acquérir

The course is designed for students fluent in basic economic and financial markets concepts, and proposes to focus on market participants and bond and interest-rates strategies. The class aims to cover the main market issues in a thematic manner, giving great space to concrete challenges and practical cases.
The objective of the seminar is to make understandable the functioning of bond and interest-rate markets within different macro environments, and notably the origin and the implementation of the decisions of investment in these markets through concrete examples. The strategies, designed to take offensive or defensive positions, are particularly important for the management and arbitrage of this asset class.

Description du contenu de l'enseignement

Planning course :
  • Part 1 - Introduction
- Housekeeping issues : format of the seminar, evaluation, etc.
- Introduction to fixed-income markets and the investment decision process
- Special focus on inflation bond markets
  • Part 2 - Determinants of Strategies
- Fundamental data and their impact on rates
- Recap of the main variables (Market movers) followed by market participants to implement their recommendations / investment decisions
  • Part 3 - Fundamental Strategies
- 3 main categories of fundamental strategies
- Portfolio Management
- Special focus on the long end of the yield curve
  • Part 4 - Other Strategies
- Strategies primarily based on statistical notions
- Assets are considered as variables having certain statistical properties which are going to impact them
  • Part 5 - Financial and Sovereign Debt Crisis
- The liquidity and sovereign debt crisis
- Central Banks and EU responses to the crisis
- Risk of “Japanification”
- Global assets allocation
- Eurobonds

Enseignant responsable


Année universitaire 2017 - 2018 - Fiche modifiée le : 12-07-2017 (10H18) - Sous réserve de modification.