Book description
In the Second Edition of Fixed Income Analysis, financial expert Frank Fabozzi and a team of knowledgeable contributors provide complete coverage of the most important issues in fixed income analysis.
Now, in Fixed Income Analysis, Second Edition, Fabozzi offers you a wealth of practical information and exercises that will solidify your understanding of the tools and techniques associated with this discipline. This comprehensive study guide--which parallels the main book chapter by chapter--contains challenging problems and a complete set of solutions as well as concise learning outcome statements and summary overviews.
If you want to make the most of your time in the fixed income marketplace, the lessons within this workbook can show you how. Topics reviewed include:
The risks associated with investing in fixed income securities
The fundamentals of valuation and interest rate risk
The features of structured products--such as mortgage-backed securities and asset-backed securities
The principles of credit analysis
The valuation of fixed income securities with embedded options
Table of contents
- Title Page
- Copyright Page
- Foreword
- Acknowledgements
- Introduction
- NOTE ON ROUNDING DIFFERENCES
- CHAPTER 1 - FEATURES OF DEBT SECURITIES
- CHAPTER 2 - RISKS ASSOCIATED WITH INVESTING IN BONDS
- CHAPTER 3 - OVERVIEW OF BOND SECTORS AND INSTRUMENTS
- CHAPTER 4 - UNDERSTANDING YIELD SPREADS
- CHAPTER 5 - INTRODUCTION TO THE VALUATION OF DEBT SECURITIES
- CHAPTER 6 - YIELD MEASURES, SPOT RATES, AND FORWARD RATES
- CHAPTER 7 - INTRODUCTION TO THE MEASUREMENT OF INTEREST RATE RISK
-
CHAPTER 8 - TERM STRUCTURE AND VOLATILITY OF INTEREST RATES
- I. INTRODUCTION
- II. HISTORICAL LOOK AT THE TREASURY YIELD CURVE
- III. TREASURY RETURNS RESULTING FROM YIELD CURVE MOVEMENTS
- IV. CONSTRUCTING THE THEORETICAL SPOT RATE CURVE FOR TREASURIES
- V. THE SWAP CURVE (LIBOR CURVE)
- VI. EXPECTATIONS THEORIES OF THE TERM STRUCTURE OF INTEREST RATES
- VII. MEASURING YIELD CURVE RISK
- VIII. YIELD VOLATILITY AND MEASUREMENT
-
CHAPTER 9 - VALUING BONDS WITH EMBEDDED OPTIONS
- I. INTRODUCTION
- II. ELEMENTS OF A BOND VALUATION MODEL
- III. OVERVIEW OF THE BOND VALUATION PROCESS
- IV. REVIEW OF HOW TO VALUE AN OPTION-FREE BOND
- V. VALUING A BOND WITH AN EMBEDDED OPTION USING THE BINOMIAL MODEL
- VI. VALUING AND ANALYZING A CALLABLE BOND
- VII. VALUING A PUTABLE BOND
- VIII. VALUING A STEP-UP CALLABLE NOTE
- IX. VALUING A CAPPED FLOATER
- X. ANALYSIS OF CONVERTIBLE BONDS
- CHAPTER 10 - MORTGAGE-BACKED SECTOR OF THE BOND MARKET
-
CHAPTER 11 - ASSET-BACKED SECTOR OF THE BOND MARKET
- I. INTRODUCTION
- II. THE SECURITIZATION PROCESS AND FEATURES OF ABS
- III. HOME EQUITY LOANS
- IV. MANUFACTURED HOUSING-BACKED SECURITIES
- V. RESIDENTIAL MBS OUTSIDE THE UNITED STATES
- VI. AUTO LOAN-BACKED SECURITIES
- VII. STUDENT LOAN-BACKED SECURITIES
- VIII. SBA LOAN-BACKED SECURITIES
- IX. CREDIT CARD RECEIVABLE-BACKED SECURITIES
- X. COLLATERALIZED DEBT OBLIGATIONS
- CHAPTER 12 - VALUING MORTGAGE-BACKED AND ASSET-BACKED SECURITIES
- CHAPTER 13 - INTEREST RATE DERIVATIVE INSTRUMENTS
- CHAPTER 14 - VALUATION OF INTEREST RATE DERIVATIVE INSTRUMENTS
- CHAPTER 15 - GENERAL PRINCIPLES OF CREDIT ANALYSIS
- CHAPTER 16 - INTRODUCTION TO BOND PORTFOLIO MANAGEMENT
-
CHAPTER 17 - MEASURING A PORTFOLIO'S RISK PROFILE
- I. INTRODUCTION
- II. REVIEW OF STANDARD DEVIATION AND DOWNSIDE RISK MEASURES
- III. TRACKING ERROR
- IV. MEASURING A PORTFOLIO'S INTEREST RATE RISK
- V. MEASURING YIELD CURVE RISK
- VI. SPREAD RISK
- VII. CREDIT RISK
- VIII. OPTIONALITY RISK FOR NON-MBS
- IX. RISKS OF INVESTING IN MORTGAGE-BACKED SECURITIES
- X. MULTI-FACTOR RISK MODELS
- CHAPTER 18 - MANAGING FUNDS AGAINST A BOND MARKET INDEX
- CHAPTER 19 - PORTFOLIO IMMUNIZATION AND CASH FLOW MATCHING
-
CHAPTER 20 - RELATIVE-VALUE METHODOLOGIES FOR GLOBAL CREDIT BOND PORTFOLIO MANAGEMENT
- I. INTRODUCTION
- II. CREDIT RELATIVE-VALUE ANALYSIS
- III. TOTAL RETURN ANALYSIS
- IV. PRIMARY MARKET ANALYSIS
- V. LIQUIDITY AND TRADING ANALYSIS
- VI. SECONDARY TRADE RATIONALES
- VII. SPREAD ANALYSIS
- VIII. STRUCTURAL ANALYSIS
- IX. CREDIT CURVE ANALYSIS
- X . CREDIT ANALYSIS
- XI. ASSET ALLOCATION/SECTOR ROTATION
- CHAPTER 21 - INTERNATIONAL BOND PORTFOLIO MANAGEMENT
- CHAPTER 22 - CONTROLLING INTEREST RATE RISK WITH DERIVATIVES
- CHAPTER 23 - HEDGING MORTGAGE SECURITIES TO CAPTURE RELATIVE VALUE
- CHAPTER 24 - CREDIT DERIVATIVES IN BOND PORTFOLIO MANAGEMENT
- ABOUT THE CFA PROGRAM
- ABOUT THE AUTHOR
- ABOUT THE CONTRIBUTORS
- Index
Product information
- Title: Fixed Income Analysis, Second Edition
- Author(s):
- Release date: January 2007
- Publisher(s): Wiley
- ISBN: 9780470052211
You might also like
book
Fixed Income Markets and Their Derivatives, 3rd Edition
The 3e of this well-respected textbook continues the tradition of providing clear and concise explanations for …
book
Fixed Income Securities: Tools for Today's Markets, 3rd Edition
Fixed income practitioners need to understand the conceptual frameworks of their field; to master its quantitative …
book
Fixed Income Securities, 4th Edition
Build or brush up on the foundation you need to be a sophisticated fixed income professional …
book
Introduction to Fixed Income Analytics: Relative Value Analysis, Risk Measures, and Valuation, Second Edition
A comprehensive introduction to the key concepts of fixed income analytics The First Edition of Introduction …