Bonds and Hybrid Securities

The course begins with the introduction to fixed income analysis, which covers: classification of bonds and bond market, necessary basics od pricing as well as interest rate classification.

Than the legal basis of fixed income issue structuring is being analysed, with clear differentiation between specified type of bonds. Special emphasis is being put on the Eurobonds.

Another issue explored is the interest rate term structure modelling. This theme comprises of the techniques for yield curve extracting from bond prices as well as applying the concept of the term structure of interest rates for bond valuation and the risk hedging.

The fixed income risk analysis refers to interest rate risk, credit risk and other risks embedded. The basic concepts of risk measures like Duration, BPV, convexity are presented, also some more complex risk-measures will be introduced.

As the fixed income terminology refers also to interest rate - and credit derivatives, so these types of instrument w

The comprehensive knowledge of mathematical, financial, regulatory and legal tools for analysis of bonds and hybrid securitiies.

The hybrid securities category comprise of bonds with embedded options, convertible bonds, contingent convertible bonds, bank and corporate subordinated debt.

Literatura podstawowa:

1) Kamil Liberadzki, Marcin Liberadzki, "Contingent Convertible Bonds, Corporate Hybrid Securities and Preferred Shares : Instruments, Regulation, Management", Palgrave Macmillan, New York, Basingstoke 2019

2) Kamil Liberadzki, Marcin Liberadzki, "Hybrid securities. Structuring, pricing and risk assessment", Palgrave Macmillan UK, London 2016

3) Jan De Spiegeleer, Wim Schoutens, Cynthia Van Hulle, "The Handbook of Hybrid Securities: Convertible Bonds, CoCo Bonds, and Bail-In", Wiley, 2014

4) Pietro Veronesi (ed.), "Handbook of Fixed?Income Securities", Wiley, first published: 21 March 2016

Literatura uzupełniająca:

1) Lionel Martellini, Philippe Priaulet , Stephane Priaulet, "Fixed Income Securities", Wiley 2003

2) Niamh Moloney, "EU Securities and Financial Markets Regulation", Oxford University Press, Oxford, United Kingdom, 2014

Publikacje własne:

Kamil Liberadzki, Marcin Liberadzki, Piotr Jaworski, On Write-Down/ Write-Up Loss Absorbing Instruments, W: European Research Studies Journal,2021;

Marcin Liberadzki, Kamil Liberadzki, dr hab. Piotr Jaworski, How does issuing contingent convertible bonds improve bank's solvency? A Value-at-Risk and Expected Shortfall approach, W: ECONOMIC MODELLING,2017;

Marcin Liberadzki, Kamil Liberadzki, Contingent Convertible Bonds, Corporate Hybrid Securities and Preferred Shares : Instruments, Regulation, Management

,2019;

Kamil Liberadzki, Piotr Jaworski , Marcin Liberadzki, Spread Analysis of the Sustainability-Linked Bonds Tied to an Issuer?s Greenhouse Gases Emissions Reduction Target, W: Energies,2021

Evaluation criteria

Traditional Written Exam (The written exam.): 80.00%

Multiple Choice Test: 0.00%

Oral Exam: 0.00%

Test: 0.00%

Papers/Essays (A homemade analysis o a selected theme.): 20.00%

Other: 0.00%

The threshold percentage of absences (excluding lectures)

defined as the proportion of class hours beyond which the achievement of learning outcomes is deemed unattainable: 50%

The course begins with the introduction to fixed income analysis, which covers: classification of bonds and bond market, necessary basics od pricing as well as interest rate classification.

Than the legal basis of fixed income issue structuring is being analysed, with clear differentiation between specified type of bonds. Special emphasis is being put on the Eurobonds.

Another issue explored is the interest rate term structure modelling. This theme comprises of the techniques for yield curve extracting from bond prices as well as applying the concept of the term structure of interest rates for bond valuation and the risk hedging.

The fixed income risk analysis refers to interest rate risk, credit risk and other risks embedded. The basic concepts of risk measures like Duration, BPV, convexity are presented, also some more complex risk-measures will be introduced.

As the fixed income terminology refers also to interest rate - and credit derivatives, so these types of instrument w

The comprehensive knowledge of mathematical, financial, regulatory and legal tools for analysis of bonds and hybrid securitiies.

The hybrid securities category comprise of bonds with embedded options, convertible bonds, contingent convertible bonds, bank and corporate subordinated debt.

Literatura podstawowa:

1) Kamil Liberadzki, Marcin Liberadzki, "Contingent Convertible Bonds, Corporate Hybrid Securities and Preferred Shares : Instruments, Regulation, Management", Palgrave Macmillan, New York, Basingstoke 2019

2) Kamil Liberadzki, Marcin Liberadzki, "Hybrid securities. Structuring, pricing and risk assessment", Palgrave Macmillan UK, London 2016

3) Jan De Spiegeleer, Wim Schoutens, Cynthia Van Hulle, "The Handbook of Hybrid Securities: Convertible Bonds, CoCo Bonds, and Bail-In", Wiley, 2014

4) Pietro Veronesi (ed.), "Handbook of Fixed?Income Securities", Wiley, first published: 21 March 2016

Literatura uzupełniająca:

1) Lionel Martellini, Philippe Priaulet , Stephane Priaulet, "Fixed Income Securities", Wiley 2003

2) Niamh Moloney, "EU Securities and Financial Markets Regulation", Oxford University Press, Oxford, United Kingdom, 2014

Publikacje własne:

Kamil Liberadzki, Marcin Liberadzki, Piotr Jaworski, On Write-Down/ Write-Up Loss Absorbing Instruments, W: European Research Studies Journal,2021;

Marcin Liberadzki, Kamil Liberadzki, dr hab. Piotr Jaworski, How does issuing contingent convertible bonds improve bank's solvency? A Value-at-Risk and Expected Shortfall approach, W: ECONOMIC MODELLING,2017;

Marcin Liberadzki, Kamil Liberadzki, Contingent Convertible Bonds, Corporate Hybrid Securities and Preferred Shares : Instruments, Regulation, Management

,2019;

Kamil Liberadzki, Piotr Jaworski , Marcin Liberadzki, Spread Analysis of the Sustainability-Linked Bonds Tied to an Issuer?s Greenhouse Gases Emissions Reduction Target, W: Energies,2021

Evaluation criteria

Traditional Written Exam (The written exam.): 80.00%

Multiple Choice Test: 0.00%

Oral Exam: 0.00%

Test: 0.00%

Papers/Essays (A homemade analysis o a selected theme.): 20.00%

Other: 0.00%

The threshold percentage of absences (excluding lectures)

defined as the proportion of class hours beyond which the achievement of learning outcomes is deemed unattainable: 50%

The course begins with the introduction to fixed income analysis, which covers: classification of bonds and bond market, necessary basics od pricing as well as interest rate classification.

Than the legal basis of fixed income issue structuring is being analysed, with clear differentiation between specified type of bonds. Special emphasis is being put on the Eurobonds.

Another issue explored is the interest rate term structure modelling. This theme comprises of the techniques for yield curve extracting from bond prices as well as applying the concept of the term structure of interest rates for bond valuation and the risk hedging.

The fixed income risk analysis refers to interest rate risk, credit risk and other risks embedded. The basic concepts of risk measures like Duration, BPV, convexity are presented, also some more complex risk-measures will be introduced.

As the fixed income terminology refers also to interest rate - and credit derivatives, so these types of instrument w

The comprehensive knowledge of mathematical, financial, regulatory and legal tools for analysis of bonds and hybrid securitiies.

The hybrid securities category comprise of bonds with embedded options, convertible bonds, contingent convertible bonds, bank and corporate subordinated debt.

Literatura podstawowa:

1) Kamil Liberadzki, Marcin Liberadzki, "Contingent Convertible Bonds, Corporate Hybrid Securities and Preferred Shares : Instruments, Regulation, Management", Palgrave Macmillan, New York, Basingstoke 2019

2) Kamil Liberadzki, Marcin Liberadzki, "Hybrid securities. Structuring, pricing and risk assessment", Palgrave Macmillan UK, London 2016

3) Jan De Spiegeleer, Wim Schoutens, Cynthia Van Hulle, "The Handbook of Hybrid Securities: Convertible Bonds, CoCo Bonds, and Bail-In", Wiley, 2014

4) Pietro Veronesi (ed.), "Handbook of Fixed?Income Securities", Wiley, first published: 21 March 2016

Literatura uzupełniająca:

1) Lionel Martellini, Philippe Priaulet , Stephane Priaulet, "Fixed Income Securities", Wiley 2003

2) Niamh Moloney, "EU Securities and Financial Markets Regulation", Oxford University Press, Oxford, United Kingdom, 2014

Publikacje własne:

Marcin Liberadzki, Kamil Liberadzki, Contingent Convertible Bonds, Corporate Hybrid Securities and Preferred Shares : Instruments, Regulation, Management

,2019;

Kamil Liberadzki, Piotr Jaworski , Marcin Liberadzki, Spread Analysis of the Sustainability-Linked Bonds Tied to an Issuer?s Greenhouse Gases Emissions Reduction Target, W: Energies,2021;

Kamil Liberadzki, Marcin Liberadzki, Piotr Jaworski, On Write-Down/ Write-Up Loss Absorbing Instruments, W: European Research Studies Journal,2021;

Marcin Liberadzki, Kamil Liberadzki, dr hab. Piotr Jaworski, How does issuing contingent convertible bonds improve bank's solvency? A Value-at-Risk and Expected Shortfall approach, W: ECONOMIC MODELLING,2017

The course begins with the introduction to fixed income analysis, which covers: classification of bonds and bond market, necessary basics od pricing as well as interest rate classification.

Than the legal basis of fixed income issue structuring is being analysed, with clear differentiation between specified type of bonds. Special emphasis is being put on the Eurobonds.

Another issue explored is the interest rate term structure modelling. This theme comprises of the techniques for yield curve extracting from bond prices as well as applying the concept of the term structure of interest rates for bond valuation and the risk hedging.

The fixed income risk analysis refers to interest rate risk, credit risk and other risks embedded. The basic concepts of risk measures like Duration, BPV, convexity are presented, also some more complex risk-measures will be introduced.

As the fixed income terminology refers also to interest rate - and credit derivatives, so these types of instrument w

The comprehensive knowledge of mathematical, financial, regulatory and legal tools for analysis of bonds and hybrid securitiies.

The hybrid securities category comprise of bonds with embedded options, convertible bonds, contingent convertible bonds, bank and corporate subordinated debt.

Literatura podstawowa:

1) Kamil Liberadzki, Marcin Liberadzki, "Contingent Convertible Bonds, Corporate Hybrid Securities and Preferred Shares : Instruments, Regulation, Management", Palgrave Macmillan, New York, Basingstoke 2019

2) Kamil Liberadzki, Marcin Liberadzki, "Hybrid securities. Structuring, pricing and risk assessment", Palgrave Macmillan UK, London 2016

3) Jan De Spiegeleer, Wim Schoutens, Cynthia Van Hulle, "The Handbook of Hybrid Securities: Convertible Bonds, CoCo Bonds, and Bail-In", Wiley, 2014

4) Pietro Veronesi (ed.), "Handbook of Fixed?Income Securities", Wiley, first published: 21 March 2016

Literatura uzupełniająca:

1) Lionel Martellini, Philippe Priaulet , Stephane Priaulet, "Fixed Income Securities", Wiley 2003

2) Niamh Moloney, "EU Securities and Financial Markets Regulation", Oxford University Press, Oxford, United Kingdom, 2014

Publikacje własne:

Marcin Liberadzki, Kamil Liberadzki, Contingent Convertible Bonds, Corporate Hybrid Securities and Preferred Shares : Instruments, Regulation, Management

,2019;

Kamil Liberadzki, Piotr Jaworski , Marcin Liberadzki, Spread Analysis of the Sustainability-Linked Bonds Tied to an Issuer?s Greenhouse Gases Emissions Reduction Target, W: Energies,2021;

Kamil Liberadzki, Marcin Liberadzki, Piotr Jaworski, On Write-Down/ Write-Up Loss Absorbing Instruments, W: European Research Studies Journal,2021;

Marcin Liberadzki, Kamil Liberadzki, dr hab. Piotr Jaworski, How does issuing contingent convertible bonds improve bank's solvency? A Value-at-Risk and Expected Shortfall approach, W: ECONOMIC MODELLING,2017