FIXED INCOME SECURITIES AND ESG BONDS
FIXED INCOME SECURITIES AND ESG BONDS
Gianfranco Di Vaio, Debarya Jana
Gianfranco Di Vaio
gdivaio@luiss.it
Instructional goals
The course aims at giving students a better understanding of sustainable finance
Intended learning outcomes
By the end of the course, students will be able to:
•Understand fixed income securities and their valuation
•Apply pricing models and yield curve analysis
•Analyze credit risk and interest rate risk
•Understand ESG principles and how they are incorporated in bond markets
•Evaluate green, social, and sustainable bonds in terms of structure, impact, and pricing
Course Contents
The course focuses on topics in finance in particular fixed income securities, ESG Criteria, sustainable finance and portfolio management.
Reference Books
To be communicated soon.
Teaching Methods
Class presentations and seminars
Assessment Method
Midterm (written) - 1/3rd of the grade and final exam (written) - 2/3rd of the grade
Thesis assignment criteria
Professors approval
Week 1
Introduction to fixed income securities: bonds, notes, bills and Time value of money, discounting, compounding
Week 2
•Bond pricing, yield measures (YTM, current yield)
•Spot rates, forward rates, term structure of interest rates
Week 3
•Duration and convexity
•Interest rate risk
Week 4
•Credit risk and bond ratings*
•Default risk and recovery rates
Week 5
•ESG criteria: environmental, social, governance
•Regulatory frameworks (EU Taxonomy, SFDR, ICMA Principles)
Week 6
•Greenwashing and impact metrics
•Green bonds, social bonds, sustainability-linked bonds
Week 7
•Issuance process, third-party verification (e.g., Second Party Opinion)
•Pricing differences between ESG and non-ESG bonds (e.g., Greenium)
Week 8
Midterms
Week 9
Case Study Presentations
Week 10
Performance measurement (risk reward ratios, high water mark, drawdown, backtesting*)
Week 11
ESG bond integration into portfolios
Week 12
Thematic and impact bond funds