Fixed Income Analysis

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John Wiley & Sons, Mar 15, 2007 - Business & Economics - 768 pages
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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

 

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Contents

CHAPTER 1 FEATURES OF DEBT SECURITIES
1
CHAPTER 2 RISKS ASSOCIATED WITH INVESTING IN BONDS
17
CHAPTER 3 OVERVIEW OF BOND SECTORS AND INSTRUMENTS
37
CHAPTER 4 UNDERSTANDING YIELD SPREADS
74
CHAPTER 5 INTRODUCTION TO THE VALUATION OF DEBT SECURITIES
97
CHAPTER 6 YIELD MEASURES SPOT RATES AND FORWARD RATES
119
CHAPTER 7 INTRODUCTION TO THE MEASUREMENT OF INTEREST RATE RISK
157
CHAPTER 8 TERM STRUCTURE AND VOLATILITY OF INTEREST RATES
185
CHAPTER 16 INTRODUCTION TO BOND PORTFOLIO MANAGEMENT
462
CHAPTER 17 MEASURING A PORTFOLIOS RISK PROFILE
476
CHAPTER 18 MANAGING FUNDS AGAINST A BOND MARKET INDEX
503
CHAPTER 19 PORTFOLIO IMMUNIZATION AND CASH FLOW MATCHING
541
CHAPTER 20 RELATIVEVALUE METHODOLOGIES FOR GLOBAL CREDIT BOND PORTFOLIO MANAGEMENT
560
CHAPTER 21 INTERNATIONAL BOND PORTFOLIO MANAGEMENT
583
CHAPTER 22 CONTROLLING INTEREST RATE RISK WITH DERIVATIVES
617
CHAPTER 23 HEDGING MORTGAGE SECURITIES TO CAPTURE RELATIVE VALUE
651

CHAPTER 9 VALUING BONDS WITH EMBEDDED OPTIONS
215
CHAPTER 10 MORTGAGEBACKED SECTOR OF THE BOND MARKET
256
CHAPTER 11 ASSETBACKED SECTOR OF THE BOND MARKET
302
CHAPTER 12 VALUING MORTGAGEBACKED AND ASSETBACKED SECURITIES
335
CHAPTER 13 INTEREST RATE DERIVATIVE INSTRUMENTS
360
CHAPTER 14 VALUATION OF INTEREST RATE DERIVATIVE INSTRUMENTS
386
CHAPTER 15 GENERAL PRINCIPLES OF CREDIT ANALYSIS
421
CHAPTER 24 CREDIT DERIVATIVES IN BOND PORTFOLIO MANAGEMENT
673
ABOUT THE CFA PROGRAM
695
ABOUT THE AUTHOR
697
ABOUT THE CONTRIBUTORS
699
Index
703
Copyright

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About the author (2007)

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.

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