Fixed Income Analysis, 2nd Edition
by Frank J. Fabozzi (School of Management, Yale Univ.); Foreword by: Martin L. LeibowitzFormat: eBook
Pub. Date: 2007-03-01
Publisher(s): Wiley
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Summary
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 Workbook, 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
| Foreword | |
| Acknowledgments | |
| Introduction | |
| Note on Rounding Differences | |
| Features of Debt Securities | |
| Introduction | |
| Indenture and Covenants | |
| Maturity | |
| Par Value | |
| Coupon Rate | |
| Provisions for Paying Off Bonds | |
| Conversion Privilege | |
| Put Provision | |
| Currency Denomination | |
| Embedded Options | |
| Borrowing Funds to Purchase Bonds | |
| Risks Associated with Investing in Bonds | |
| Introduction | |
| Interest Rate Risk | |
| Yield Curve Risk | |
| Call and Prepayment Risk | |
| Reinvestment Risk | |
| Credit Risk | |
| Liquidity Risk | |
| Exchange Rate or Currency Risk | |
| Inflation or Purchasing Power Risk | |
| Volatility Risk | |
| Event Risk | |
| Sovereign Risk | |
| Overview of Bond Sectors and Instruments | |
| Introduction | |
| Sectors of the Bond Market | |
| Sovereign Bonds | |
| Semi-Government/Agency Bonds | |
| State and Local Governments | |
| Corporate Debt Securities | |
| Asset-Backed Securities | |
| Collateralized Debt Obligations | |
| Primary Market and Secondary Market for Bonds | |
| Understanding Yield Spreads | |
| Introduction | |
| Interest Rate Determination | |
| U.S. Treasury Rates | |
| Yields on Non-Treasury Securities | |
| Non-U.S. Interest Rates | |
| Swap Spreads | |
| Introduction to the Valuation of Debt Securities | |
| Introduction | |
| General Principles of Valuation | |
| Traditional Approach to Valuation | |
| The Arbitrage-Free Valuation Approach | |
| Valuation Models | |
| Yield Measures, Spot Rates, and Forward Rates | |
| Introduction | |
| Sources of Return | |
| Traditional Yield Measures | |
| Theoretical Spot Rates | |
| Forward Rates | |
| Introduction to the Measurement of Interest Rate Risk | |
| Introduction | |
| The Full Valuation Approach | |
| Price Volatility Characteristics of Bonds | |
| Duration | |
| Convexity Adjustment | |
| Price Value of a Basis Point | |
| The Importance of Yield Volatility | |
| Term Structure and Volatility of Interest Rates | |
| Introduction | |
| Historical Look at the Treasury Yield Curve | |
| Treasury Returns Resulting from Yield Curve Movements | |
| Constructing the Theoretical Spot Rate Curve for Treasuries | |
| The Swap Curve (LIBOR Curve) | |
| Expectations Theories of the Term Structure of Interest Rates | |
| Measuring Yield Curve Risk | |
| Yield Volatility and Measurement | |
| Valuing Bonds with Embedded Options | |
| Introduction | |
| Elements of a Bond Valuation Model | |
| Overview of the Bond Valuation Process | |
| Review of How to Value an Option-Free Bond | |
| Valuing a Bond with an Embedded Option Using the Binomial Model | |
| Valuing and Analyzing a Callable Bond | |
| Valuing a Putable Bond | |
| Valuing a Step-Up Callable Note | |
| Valuing a Capped Floater | |
| Analysis of Convertible Bonds | |
| Mortgage-Backed Sector of the Bond Market | |
| Introduction | |
| Residential Mortgage Loans | |
| Mortgage Passthrough Securities | |
| Collateralized Mortgage Obligations | |
| Stripped Mortgage-Backed Securities | |
| Nonagency Residential Mortgage-Backed Securities | |
| Commercial Mortgage-Backed Securities | |
| Asset-Backed Sec | |
| Table of Contents provided by Publisher. All Rights Reserved. |
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