Fixed Income Securities: Valuation, Risk, and Risk Management

LIST OF TABLES

1.1	The Size of Fixed Income Markets
1.2	A Snapshot of U.S. Treasury & Money Market Rates
1.3	U.S. Treasury Debt Securities
1.4	Issuance Acitivity of Bonds, Notes, & TIPS
1.5	Stripped Coupon Interest
1.6	Financing by U.S. Government Securities Dealers
1.7	Borrowing rates for firm A & B
2.1	Interest Rate & Compounding Frequency
2.2	Term Structure
2.3	The Valuation of a 2-year Floating Rate Bond
2.4	Yield Curve
2.5	Bonds & Notes
2.6	Bond Quotes
2.7	Discount Factors Z (0, T )
2.8	The Price of a 15% Fixed Coupon Bond
3.1	Duration of Coupon Bond, Coupon = 6%
3.2	Duration versus Coupon Rate & Interest Rate
3.3	Example of Immunization Strategy
3.4	The Duration Mismatch
3.5	Asset & Liabilities of a Financial Institution
3.6	Yield Curve
3.7	Two Term Structures of Interest Rates
3.8	The Duration of the 15% Fixed Rate Bond
3.9	The Duration of the Leverage Inverse Floater
4.1	Duration & Convexity Computation for 10-year, 5% Coupon Bond
4.2	Duration Hedging v. Duration & Convexity Hedging
4.3	The Slope & Curvature of the Term Structure at Two Dates
4.4	Interest Rates
4.5	The Sensitivity of Interest Rates to Level, Slope, & Curvature
4.6	Yield Curve
4.7	Term Structures
4.8	Level, Slope & Curvature
4.9	Two Term Structures of Interest Rates
4.10	Factor Sensitivity (1952–1993)
4.11	Factor Durations of a 3-year Zero Coupon Bond
4.12	Factor Durations of a 3-year Zero Coupon Bond
4.13	Factor Durations of Inverse Floater
4.14	Statistical Properties ...