國立中山大學109學年度第1學期固定收益證券分析課程大綱

國立中山大學 109學年度第1學期課程教學大綱

National Sun Yat-sen University 109Academic year1st Semester Course syllabus

中文名稱
Course name(Chinese)

固定收益證券分析

課號
Course Code

FM504

英文名稱
Course name(English)

ANALYSIS OF FIXED INCOME SECURITIES

課程類別
Type of the course

講授類

必選修
Required/Selected

選修

系所
Dept./faculty

財務管理學系碩士班

授課教師
Instructor

黃振聰

學分
Credit

因應嚴重特殊傳染性肺炎(武漢肺炎)，倘若後續需實施遠距授課，授課方式調整如下：

同步遠距【透過網路直播技術，同時進行線上教學，得採Microsoft Teams、Adobe connect等軟體進行】
同步遠距含錄影【透過網路直播技術，同時進行線上教學並同時錄影，課程內容可擇日再重播，得採Microsoft Teams、Adobe connect等軟體進行】
非同步遠距【課堂錄影或錄製數位教材放置網路供學生可非同時進行線上學習，得採EverCam、PPT簡報錄影、錄音方式進行】
實作類課程，經評估無法採遠距課程教學，後續復課後密集補課

★遠距教學軟體操作說明連結

因應嚴重特殊傳染性肺炎(武漢肺炎)，倘若後續需實施遠距授課，評分方式調整如下：

1.上傳讀書報告(PAPER REPORT)：100%

課程大綱 Course syllabus

本課程教學大綱已提供完整英文資訊（本選項僅供統計使用，未提供完整英文資訊者，得免勾記）【Provide information of course syllabus in English.(This is for statistical use only. For those who do not provide information of course syllabus in English, do not check this field.)】

本課程分為兩部份:
(一)基本原理介紹，內容包括市場結構分析、利率的期限與信用結構、存續期間與凸性系數、利率衍生性證券的評價等。
(二)進階議題研討，內容包括能處理各種各樣複數問題的概念或分析方法。
This course is seperated into two parts : (1)fundamental principles introduction,including market structure analysis,term and credit structure of interest rates,duration and convexity,valuation of interest rate derivatives,and etc.(2)various state-of-the-art ideas and analytics.

課程目標 Objectives

本課程希望透過各種觀念和分析方法的介紹，培養學生對各種各樣的固定收益證券的分析能力。
Through the introduction of various ideas and analytics,this course hopes that students can keep steps with recent developments in the area of fixed income securities.

授課方式 Teaching methods

1.講授 (Lecture)
2.分組專題報告與討論 (Paper Reading and Reporting Class Discussion)

評分方式﹝評分標準及比例﹞Evaluation (Criteria and ratio)等第制單科成績對照表 letter grading reference

1.課堂報告(Class Discussion)：20%
2.分組專題報告與討論(Paper Reading and Reporting)：80%

參考書/教科書/閱讀文獻 Reference book/ textbook/ documents
〔請遵守智慧財產權觀念，不可非法影印。教師所提供之教材供學生本人自修學習使用,不得散播及做為商業用途〕
No copies for intellectual property rights. Textbooks provided by the instructor used only for self-study, can not broadcast or commercial use

1.Bruce Tuckman(1996).Fixed Income Securities:Tools for Today's Markets. New York:John Wiley.
2.Frank J. Fabozzi and et al.(2007). Advaneed Bond Portfolio Management:Best Practices in Modeling and Strategies. New York:John Wiley.

彈性暨自主學習規劃 Alternative learning periods

本門課程是否有規劃實施學生彈性或自主學習內容（每1學分2小時）

Is any alternative learning periods planned for this course (with each credit corresponding to two hours of activity)?

否：教師需於「每週課程內容及預計進度」填寫18週課程進度（每1學分18小時之正課內容）。
No：The instructor will include an 18-week course plan in the weekly scheduled progress (each credit corresponds to 18 hours of instruction)

是：教師需於「每週課程內容及預計進度」填寫16週課程內容（每1學分16小時之正課內容），並於下列欄位填寫每1學分2小時學生彈性或自主學習內容。
Yes：The instructor will include a 16-week course plan in the weekly scheduled progress (each credit corresponds to 16 hours of instruction);the details of the planned alternative learning periods are provided below (each credit corresponds to two hours of activity).

學生彈性或自主學習活動 Alternative learning periods	勾選或填寫規劃內容 Place a check in the appropriate box or provide details	時數 Number of hours
學生分組實作及討論 Group work and discussion
參與課程相關作業、作品、實驗 Participation in course-related assignments, work, or experiments
參與校內外活動（研習營、工作坊、參訪）或競賽 Participation in on- or off-campus activities (e.g., seminars, workshops, and visits) or competitions
課外閱讀 Extracurricular reading
線上數位教材學習 Learning with online digital learning materials
其他（請填寫規劃內容） Other (please provide details)

每週課程內容及預計進度 Weekly scheduled progress

週次	日期	授課內容及主題
Week	Date	Content and topic
1	2020/09/06~2020/09/12	Investment Environment
2	2020/09/13~2020/09/19	Term Structure of Interest Rates
3	2020/09/20~2020/09/26	Hedging Interest-Rate Risk
4	2020/09/27~2020/10/03	Hedging Interest-Rate Risk
5	2020/10/04~2020/10/10	Interest Strategies
6	2020/10/11~2020/10/17	Swaps and Futures
7	2020/10/18~2020/10/24	Swaps and Futures
8	2020/10/25~2020/10/31	Modeling the Term Structure of Interest Rates and Credit Spreads
9	2020/11/01~2020/11/07	Modeling the Term Structure of Interest Rates and Credit Spreads
10	2020/11/08~2020/11/14	Modeling the Term Structure of Interest Rates and Credit Spreads
11	2020/11/15~2020/11/21	Modeling the Term Structure of Interest Rates and Credit Spreads
12	2020/11/22~2020/11/28	Plain Vanilla Options and Exotic Derivates
13	2020/11/29~2020/12/05	Plain Vanilla Options and Exotic Derivates
14	2020/12/06~2020/12/12	Plain Vanilla Options and Exotic Derivates
15	2020/12/13~2020/12/19	Plain Vanilla Options and Exotic Derivates
16	2020/12/20~2020/12/26	Securitization
17	2020/12/27~2021/01/02	Securitization
18	2021/01/03~2021/01/09	Final Report

課業討論時間 Office hours

時段1 Time period 1:
時間 Time：星期三10-12點
地點 Office/Laboratory：管CM3017
時段2 Time period 2：
時間 Time：
地點 Office/Laboratory：

系所學生專業能力/全校學生基本素養與核心能力 basic disciplines and core capabilitics of the dcpartment and the university

系所學生專業能力/全校學生基本素養與核心能力
basic disciplines and core capabilities of the department and the university

課堂活動與評量方式
Class activities and evaluation

本課程欲培養之能力與素養 This course enables students to achieve.

紙筆考試或測驗 Test.

課堂討論︵含個案討論︶ Group discussion (case analysis).

個人書面報告、作業、作品、實驗 Indivisual paper report/ assignment/ work or experiment.

群組書面報告、作業、作品、實驗 Group paper report/ assignment/ work or experiment.

個人口頭報告 Indivisual oral presentation.

群組口頭報告 Group oral presentation.

課程規劃之校外參訪及實習 Off-campus visit and intership.

證照/檢定 License.

參與課程規劃之校內外活動及競賽 Participate in off-campus/ on-campus activities and competitions.

課外閱讀 Outside reading.

※系所學生專業能力 Basic disciplines and core capabilities of the department

1.財務倫理之能力與社會責任實踐 1. Financial ethics ability.

2.國際觀之能力 2. Global perspective.

3.解決財務問題之能力 3. Problem solving ability in Finance.

4.溝通之能力 4. Communication skill.

5.財務管理專業知識之能力 5. Expertise in Financial management.

※全校學生基本素養與核心能力 Basic disciplines and core capabilities of the university

1.表達與溝通能力。 1. Articulation and communication skills

2.探究與批判思考能力。 2. Inquisitive and critical thinking abilities

3.終身學習能力。 3. Lifelong learning

4.倫理與社會責任。 4. Ethnics and social responsibility

5.美感品味。 5. Aesthetic appreciation

6.創造力。 6. Creativity

7.全球視野。 7. Global perspective

8.合作與領導能力。 8. Team work and leadership

9.山海胸襟與自然情懷。 9. Broad-mindedness and the embrace of nature　

本課程與SDGs相關項目：The course relates to SDGs items:

尚未建立SDGS資料

本課程校外實習資訊: This course is relevant to internship:

本課程無註記包含校外實習