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
關於作者：
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.
目錄：
Foreword. Acknowledgments. Introduction. Note on Rounding
Differences. CHAPTER 1: Features of Debt Securities. I.
Introduction. II. Indenture and Covenants. III. Maturity. IV. Par
Value. V. Coupon Rate. VI. Provisions for Paying Off Bonds. VII.
Conversion Privilege. VIII. Put Provision. IX. Currency
Denomination. X. Embedded Options. XI. Borrowing Funds to Purchase
Bonds. 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. Event
Risk. XII. Sovereign Risk. CHAPTER 3: Overview of Bond Sectors and
Instruments. I. Introduction. II. Sectors of the Bond Market. III.
Sovereign Bonds. IV. Semi-GovernmentAgency Bonds. V. State and
Local Governments. VI. Corporate Debt Securities. VII. Asset-Backed
Securities. VIII. Collateralized Debt Obligations. IX. Primary
Market and Secondary Market for Bonds. CHAPTER 4: Understanding
Yield 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: Introduction
to the Valuation of Debt Securities. I. Introduction. II. General
Principles 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 Yield
Measures. 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. Price
Volatility Characteristics of Bonds. IV. Duration. V. Convexity
Adjustment. VI. Price Value of a Basis Point. VII. The Importance
of Yield Volatility. 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. I. Introduction. II.
Residential Mortgage Loans. III. Mortgage Passthrough Securities.
IV. Collateralized Mortgage Obligations. V. Stripped
Mortgage-Backed Securities. VI. Nonagency Residential
Mortgage-Backed Securities. VII. Commercial Mortgage-Backed
Securities. 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-Backed
Securities. VII. Student Loan-Backed Securities. VIII. SBA
Loan-Backed Securities. IX. Credit Card Receivable-Backed
Securities. X. Collateralized Debt Obligations. CHAPTER 12:
ValuingMortgage-Backed and Asset-Backed Securities. I.
Introduction. II. Cash Flow Yield Analysis. III. Zero-Volatility
Spread. IV. Monte Carlo Simulation Model and OAS. V. Measuring
Interest Rate Risk. VI. Valuing Asset-Backed Securities. VII.
Valuing Any Security. CHAPTER 13: Interest Rate Derivative
Instruments. I. Introduction. II. Interest Rate Futures. III.
Interest Rate Options. IV. Interest Rate Swaps. V. Interest Rate
Caps and Floors. CHAPTER 14: Valuation of Interest Rate Derivative
Instruments. I. Introduction. II. Interest Rate Futures Contracts.
III. Interest Rate Swaps. IV. Options. V. Caps and Floors. CHAPTER
15: General Principles of Credit Analysis. I. Introduction. II.
Credit Ratings. III. Traditional Credit Analysis. IV. Credit
Scoring Models. V. Credit Risk Models. Appendix: Case Study.
CHAPTER 16: Introduction to Bond Portfolio Management. I.
Introduction. II. Setting Investment Objectives for Fixed-Income
Investors. III. Developing and Implementing a Portfolio Strategy.
IV. Monitoring the Portfolio. V. Adjusting the Portfolio. 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. I. Introduction.
II. Degrees of Active Management. III. Strategies. IV. Scenario
Analysis for Assessing Potential Performance. V. Using Multi-Factor
Risk Models in Portfolio Construction. VI. Performance Evaluation.
VII. Leveraging Strategies. CHAPTER 19: Portfolio Immunization and
Cash Flow Matching. I. Introduction. II. Immunization Strategy for
a Single Liability. III. Contingent Immunization. IV. Immunization
for Multiple Liabilities. V. Cash Flow Matching for Multiple
Liabilities. CHAPTER 20: Relative-ValueMethodologies for Global
Credit 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. Structural
Analysis. IX. Credit Curve Analysis. X. Credit Analysis. XI. Asset
AllocationSector Rotation. CHAPTER 21: International Bond
Portfolio Management by Christopher B. Steward, J. Hank Lynch, and
Frank J. Fabozzi. I. Introduction. II. Investment Objectives and
Policy Statements. III. Developing a Portfolio Strategy. IV.
Portfolio Construction. Appendix. CHAPTER 22: Controlling Interest
Rate Risk with Derivatives by Frank J. Fabozzi, Shrikant
Ramamurthy, and Mark Pitts. I. Introduction. II. Controlling
Interest Rate Risk with Futures. III. Controlling Interest Rate
Risk with Swaps. IV. Hedging with Options. V. Using Caps and
Floors. CHAPTER 23: HedgingMortgage Securities to Capture Relative
Value 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: Credit
Derivatives in Bond Portfolio Management by Mark J.P. Anson and
Frank J. Fabozzi. I. Introduction. II. Market Participants. III.
Why Credit Risk Is Important. IV. Total Return Swap. V. Credit
Default Products. VI. Credit Spread Products. VII. Synthetic
Collateralized Debt Obligations. VIII. Basket Default Swaps. About
the CFA Program. About the Author. About the Contributors.
Index.
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