Fixed Income Markets & Quantitative Methods

This is an advanced business course. It is designed to complement Corporate Finance, which places a greater emphasis on the equity market.

Many lawyers practice in a world where quantitative analysis is an important tool in doing their job. They might work at hedge funds or other investment managers. They might work with banking institutions. They might work with regulators or with companies engaged in sophisticated products or processes. Regardless of the context, these lawyers would benefit from courses with more analytical rigor. This course is designed give the law student a deeper dive into important concepts relating to quantitative methods and the fixed income market. This course will use texts from the CFA™ Institute Investment Series. The texts were chosen because of their practical focus.

It is essential that the student in this course have a facility with quantitative methods. A solid understanding of Microsoft Excel™ is important; however, on the exams you may only use one of two models of a business calculator: either the Texas Instruments BA II Plus™ (including the BA II Plus Professional™) or the Hewlett Packard 12C™ (including the HP 12C Platinum™).

The areas of focus include:

1. Time value of money and discounted cash flow concepts.
2. Statistics as applied to understanding markets
3. Probability concepts and hypothesis testing.
4. Correlation and regression.
5. Understanding characteristics of and risks associated with bonds and other debt securities
6. Credit risk and yield spreads
7. Valuing bonds and bonds with embedded options
8. Mortgages and the mortgage markets
9. Understanding and valuing asset-backed and mortgage-backed securities
10. Understanding and valuing swaps and other interest rate derivatives
11. Managing risks

Final course grades will be determined by the following allocation:

25% Class Participation
25% Problem Sets
25% Mid-Term Exam (covering first 1/2 of course)
25% Final Exam (covering second 1/2 of course)

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