High Yield Bonds: Market Structure, Portfolio Management, and Credit Risk Modeling
Theodore M. Barnhill, William F. Maxwell, Mark R. Shenkman
McGraw-Hill, 1999 - Business & Economics - 574 pages
HIGH-YIELD BONDS provides state-of-the-art research, strategies, and tools—alongside the expert analysis of respected authorities including Edward Altman of New York University’s Salomon Center, Lea Carty of Moody’s Investor Service, Sam DeRosa-Farag of Donaldson, Lufkin & Jenrette, Martin Fridson of Merrill Lynch & Company, Stuart Gilson of Harvard University, Robert Kricheff of CS First Boston, and Frank Reilly of the University of Notre Dame—to help you truly understand today’s high-yield market. For added value and ease of reference, this high-level one-volume encyclopedia is divided into seven sections detailing virtually every aspect of high-yield bond investment. They include: Market structure—The role of investment banks in security innovation and market development, evolution of analytical methodologies, and recent leveraged loan market developments; Security risk analysis—Historical bond default rates, real interest rate and default rate relationships, and new simulation methodologies for modeling credit quality; Security valuation—Impact of seniority and security on bond pricing and return, important trading factors, and a Monte Carlo simulation methodology for valuing bonds and options in the context of correlated interest rate and credit risk; Market valuation models—Econometric studies which detail the importance of monetary influences, risk-free interest rates, default rates, mutual fund flows, and seasonal fluctuations; Portfolio management—Historical perspective and comparison to alternative investments, analysis of indices available to investors, and specific portfolio selection and risk management strategies of professional fund managers; Distressed security investing—Historical risk and return information, plus an academic overview of the market and decision criteria for uncovering and investing in securities with higher-than-average risk-adjusted returns; Corporate finance considerations—Emerging firms’ strategic choice between external debt and equity financing, as well as the choice of issuing public versus private (Rule-144a) securities. HIGH-YIELD BONDS provides extensive coverage of bond valuation and the construction and management of high-yield portfolios. Advanced Monte Carlo simulation models for the valuation of bonds and options on bonds as well as risk assessments on portfolios of bonds under conditions of correlated interest rate and credit risk are demonstrated. In today’s explosive environment of multiple new issues and high risk versus return relationships, it is paramount that you get advice from analysts and experts who have been influential in shaping and defining the market. HIGH-YIELD BONDS will provide you with a valuable reference to this fascinating and constantly changing class of securities, helping you assemble a stable, diversified portfolio of fixed income investments that provides the greatest returns and the lowest risks.
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The High Yield Market
A Historic Perspective
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Altman analysis annual average B-rated bank bankruptcy basis points bond indexes bond market bond rating capital structure cash flow Chapter 11 claims cointegrating corporate bond credit risk default rates default risk EBITDA equity estimated Exhibit factors firm's firms Fridson high yield bonds high yield debt High Yield Index high yield market HY bond indexes increase indices industry institutional interest rate investment grade investment-grade bond investors issuance issuers issues January effect Journal Junk Bonds Lehman Brothers leveraged loans liquidity Merrill Lynch methodology Moody's mutual funds noninvestment-grade bonds offering one-year percent period portfolio managers rating category rating changes Rating Transition Matrix ratio recovery rates registration risk premium sample sector securities senior unsecured significant simulated Single-B Split BBB spread versus Treasuries Standard & Poor's standard deviation statistics tracking deviations trading underwriter variables volatility yield spread Zero Coupon