Fixed Income Analysis, 2Nd Edition 9780470052211

当前位置:首页 > 管理 > 英文原版书-管理 > Fixed Income Analysis, 2Nd Edition 9780470052211

  • 版 次：1
  • 页 数：733
  • 字 数：
  • 印刷时间：2007年01月01日
  • 开 本：大16开
  • 纸 张：胶版纸
  • 包 装：精装
  • 是否套装：否
  • 国际标准书号ISBN：9780470052211
作者:Frank J. Fabozzi 　著出版社:Wiley出版时间:2007年01月 
内容简介
　In the Second Edition of Fixed Income Analysis, financialexpert Frank Fabozzi and a team of knowledgeable contributorsprovide complete coverage of the most important issues in fixedincome analysis.
　Now, in Fixed Income Analysis Workbook, Second Edition, Fabozzioffers you a wealth of practical information and exercises thatwill solidify your understanding of the tools and techniquesassociated with this discipline. This comprehensive studyguide––which parallels the main book chapter by chapter––containschallenging problems and a complete set of solutions as well asconcise learning outcome statements and summary overviews.
　If you want to make the most of your time in the fixed incomemarketplace, the lessons within this workbook can show you how.Topics reviewed include:
The risks associated with investing in fixed incomesecurities
The fundamentals of valuation and interest rate risk
The features of structured products––such as mortgage–backedsecurities and asset–backed securities
显示全部信息
作者简介

FRANK J. FABOZZI, PhD, CFA, CFP, is an Adjunct Professor of Finance and Becton Fellow at Yale University′s School of Management. He is also Editor of the Journal of Portfolio Management, and a consultant.

目　　录
Foreword. Acknowledgments. Introduction. Note on RoundingDifferences. CHAPTER 1: Features of Debt Securities. I.Introduction. II. Indenture and Covenants. III. Maturity. IV. ParValue. V. Coupon Rate. VI. Provisions for Paying Off Bonds. VII.Conversion Privilege. VIII. Put Provision. IX. CurrencyDenomination. X. Embedded Options. XI. Borrowing Funds to PurchaseBonds. CHAPTER 2: Risks Associated with Investing in Bonds. I.Introduction. II. Interest Rate Risk. III. Yield Curve Risk. IV.Call and Prepayment Risk. V. Reinvestment Risk. VI. Credit Risk.VII. Liquidity Risk. VIII. Exchange Rate or Currency Risk. IX.Inflation or Purchasing Power Risk. X. Volatility Risk. XI. EventRisk. XII. Sovereign Risk. CHAPTER 3: Overview of Bond Sectors andInstruments. I. Introduction. II. Sectors of the Bond Market. III.Sovereign Bonds. IV. Semi-Government/Agency Bonds. V. State andLocal Governments. VI. Corporate Debt Securities. VII. Asset-BackedSecurities. VIII. Collateralized Debt Obligations. IX. PrimaryMarket and Secondary Market for Bonds. CHAPTER 4: UnderstandingYield Spreads. I. Introduction. II. Interest Rate Determination.III. U.S. Treasury Rates. IV. Yields on Non-Treasury Securities. V.Non-U.S. Interest Rates. VI. Swap Spreads. CHAPTER 5: Introductionto the Valuation of Debt Securities. I. Introduction. II. GeneralPrinciples of Valuation. III. Traditional Approach to Valuation.IV. The Arbitrage-Free Valuation Approach. V. Valuation Models.CHAPTER 6: Yield Measures, Spot Rates, and Forward Rates. I.Introduction. II. Sources of Return. III. Traditional YieldMeasures. IV. Theoretical Spot Rates. V. Forward Rates. CHAPTER 7:Introduction to the Measurement of Interest Rate Risk. I.Introduction. II. The Full Valuation Approach. III. PriceVolatility Characteristics of Bonds. IV. Duration. V. ConvexityAdjustment. VI. Price Value of a Basis Point. VII. The Importanceof Yield Volatility. CHAPTER 8: Term Structure and Volatility ofInterest Rates. I. Introduction. II. Historical Look at theTreasury Yield Curve. III. Treasury Returns Resulting from YieldCurve Movements. IV. Constructing the Theoretical Spot Rate Curvefor Treasuries. V. The Swap Curve (LIBOR Curve). VI. ExpectationsTheories of the Term Structure of Interest Rates. VII. MeasuringYield Curve Risk. VIII. Yield Volatility and Measurement. CHAPTER9: Valuing Bonds with Embedded Options. I. Introduction. II.Elements of a Bond Valuation Model. III. Overview of the BondValuation 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 PutableBond. VIII. Valuing a Step-Up Callable Note. IX. Valuing a CappedFloater. X. Analysis of Convertible Bonds. CHAPTER 10:Mortgage-Backed Sector of the Bond Market. I. Introduction. II.Residential Mortgage Loans. III. Mortgage Passthrough Securities.IV. Collateralized Mortgage Obligations. V. StrippedMortgage-Backed Securities. VI. Nonagency ResidentialMortgage-Backed Securities. VII. Commercial Mortgage-BackedSecurities. CHAPTER 11: Asset-Backed Sector of the BondMarket. 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-BackedSecurities. VII. Student Loan-Backed Securities. VIII. SBALoan-Backed Securities. IX. Credit Card Receivable-BackedSecurities. X. Collateralized Debt Obligations. CHAPTER 12:ValuingMortgage-Backed and Asset-Backed Securities. I.Introduction. II. Cash Flow Yield Analysis. III. Zero-VolatilitySpread. IV. Monte Carlo Simulation Model and OAS. V. MeasuringInterest Rate Risk. VI. Valuing Asset-Backed Securities. VII.Valuing Any Security. CHAPTER 13: Interest Rate DerivativeInstruments. I. Introduction. II. Interest Rate Futures. III.Interest Rate Options. IV. Interest Rate Swaps. V. Interest RateCaps and Floors. CHAPTER 14: Valuation of Interest Rate DerivativeInstruments. I. Introduction. II. Interest Rate Futures Contracts.III. Interest Rate Swaps. IV. Options. V. Caps and Floors. CHAPTER15: General Principles of Credit Analysis. I. Introduction. II.Credit Ratings. III. Traditional Credit Analysis. IV. CreditScoring Models. V. Credit Risk Models. Appendix: Case Study.CHAPTER 16: Introduction to Bond Portfolio Management. I.Introduction. II. Setting Investment Objectives for Fixed-IncomeInvestors. III. Developing and Implementing a Portfolio Strategy.IV. Monitoring the Portfolio. V. Adjusting the Portfolio. CHAPTER17: 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 inMortgage-Backed Securities. X. Multi-Factor Risk Models. CHAPTER18: Managing Funds against a Bond Market Index. I. Introduction.II. Degrees of Active Management. III. Strategies. IV. ScenarioAnalysis for Assessing Potential Performance. V. Using Multi-FactorRisk Models in Portfolio Construction. VI. Performance Evaluation.VII. Leveraging Strategies. CHAPTER 19: Portfolio Immunization andCash Flow Matching. I. Introduction. II. Immunization Strategy fora Single Liability. III. Contingent Immunization. IV. Immunizationfor Multiple Liabilities. V. Cash Flow Matching for MultipleLiabilities. CHAPTER 20: Relative-ValueMethodologies for GlobalCredit Bond Portfolio Management (by Jack Malvey). 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. StructuralAnalysis. IX. Credit Curve Analysis. X. Credit Analysis. XI. AssetAllocation/Sector Rotation. CHAPTER 21: International BondPortfolio Management (by Christopher B. Steward, J. Hank Lynch, andFrank J. Fabozzi). I. Introduction. II. Investment Objectives andPolicy Statements. III. Developing a Portfolio Strategy. IV.Portfolio Construction. Appendix. CHAPTER 22: Controlling InterestRate Risk with Derivatives (by Frank J. Fabozzi, ShrikantRamamurthy, and Mark Pitts). I. Introduction. II. ControllingInterest Rate Risk with Futures. III. Controlling Interest RateRisk with Swaps. IV. Hedging with Options. V. Using Caps andFloors. CHAPTER 23: HedgingMortgage Securities to Capture RelativeValue (by Kenneth B. Dunn, Roberto M. Sella, and Frank J. Fabozzi).I. Introduction. II. The Problem. III. Mortgage Security Risks. IV.How Interest Rates Change Over Time. V. Hedging Methodology. VI.Hedging Cuspy-Coupon Mortgage Securities. CHAPTER 24: CreditDerivatives in Bond Portfolio Management (by Mark J.P. Anson andFrank J. Fabozzi). I. Introduction. II. Market Participants. III.Why Credit Risk Is Important. IV. Total Return Swap. V. CreditDefault Products. VI. Credit Spread Products. VII. SyntheticCollateralized Debt Obligations. VIII. Basket Default Swaps. Aboutthe CFA Program. About the Author. About the Contributors.Index.
显示全部信息
媒体评论

"Fabozzi has a gift for making the complex comprehensible. He cuts through the jargon and mathematics to explain the fixed income market in a splendidly logical and intuitive manner."
—Martin Fridson, CFA, CEO, FridsonVision LLC

"This is the finest and most comprehensive treatment of the global debt markets in a single volume ever published. This compelling book should be a mandatory read, not only for aspiring CFA charterholders, but by all professional members of the global bond community."
—Jack Malvey, CFA, Chief Global Fixed Income Strategist, Lehman Brothers

"In the field of fixed income analysis, Dr. Fabozzi has honed his authoring and editing skills over many years. This encyclopedic volume is likely to become the 'go to' reference for many fixed income investment professionals."
—Bill Nemerever, CFA, Partner, Grantham, Mayo Van Otterloo & Co. LLC

"A tour de force by a giant in our business"
—Paul McCulley, Managing Director and Portfolio Manager, PIMCO

 Fixed Income Analysis, 2Nd Edition 9780470052211下载


发布书评

　
　
 

PDF图书网 

PDF图书网 @ 2017