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NQF credits: 14

Fourth year status‚ first/second semester course‚ two lectures per week.

Course co–ordinator: Professor H Abraham.

Entrance requirements: Graduate.

Course outline:

(a) Understanding Forward Rate Analysis and Yield curves. 

     Term structure of interest rates and forward rate analysis. 

     Yield measures. 

     Analysing changes in the yield curve.

(b) A framework for analysing bonds. 

     Implications of duration and convexity for bond analysis. 

     Using Horizon Analysis to Evaluate Bond Strategies. 

     Analysis of bonds with embedded options.

     Asset and Mortgage Backed Security Analysis.

(c) Risk analysis for bonds. 

     Sources of risk. 

     Analysis of corporate bond risk. 

     Analysing Rating Agencies Criteria – Moodys/ Standard and Poors.

(d) Fixed income strategies. 

     Passive Bond Management Strategies. 

     Active Bond Management Strategies. 

     Outlook for the South African Bond Market.

DP requirements: N/A.


Examination counts 100%.

Last updated : 18 Jun 2014

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