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Bond Markets, Analysis, and Strategies

by: Fabozzi, Frank J.

Bond Markets, Analysis, and Strategies

by: Fabozzi, Frank J.

ISBN 13:
9780131986435
ISBN 10:
0131986430
Edition: 6th
Format: Hardcover
Copyright: 01/01/2010
Publisher: Pearson College Div
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Summary

Target Market: Fixed Income Securities Courses or Bond Markets Courses Fabozzi's, Bond Markets, prepares students to analyze the the bond market and use the tools for managing bond portfolios. Many texts on the market are far too theoretical, Fabozzi is quite the opposite. This text covers Bonds, analytical techniques for valuing bonds and quantifying their exposure to changes in interest rates, and portfolio strategies for achieving a clientrs"s objectives.

Preface

CHAPTER 1 Introduction

(12)

Sectors of the U.S. Bond Market

(1)

Overview of Bond Features

(3)

Risks Associated with Investing in Bonds

(3)

Secondary Market for Bonds

(1)

Financial Innovation and the Bond Market

(1)

Overview of the Book

(2)

CHAPTER 2 Pricing of Bonds

(21)

Review of Time Value of Money

(7)

Pricing a Bond

(8)

Complications

(1)

Pricing Floating-Rate and Inverse-Floating-Rate Securities

(2)

Price Quotes and Accrued Interest

(1)

Summary

(2)

CHAPTER 3 Measuring Yield

(24)

Computing the Yield or Internal Rate of Return on Any Investment

(3)

Conventional Yield Measures

(8)

Potential Sources of a Bond's Dollar Return

(3)

Total Return

(5)

Applications of the Total Return (Horizon Analysis)

(1)

Calculating Yield Changes

(1)

Summary

(3)

CHAPTER 4 Bond Price Volatility

(36)

Review of the Price-Yield Relationship for Option-Free Bonds

(1)

Price Volatility Characteristics of Option-Free Bonds

(2)

Measures of Bond Price Volatility

(11)

Convexity

(10)

Additional Concerns When Using Duration

(1)

Don't Think of Duration as a Measure of Time

(1)

Approximating a Bond's Duration and Convexity Measure

(2)

Measuring a Bond Portfolio's Responsiveness to Nonparallel Changes in Interest Rates

(3)

Summary

(5)

CHAPTER 5 Factors Affecting Bond Yields and the Term Structure of Interest Rates

(33)

Base Interest Rate

(1)

Risk Premium

(5)

Term Structure of Interest Rates

101

(21)

Summary

122

(5)

CHAPTER 6 Treasury and Agency Securities Markets

127

(28)

Treasury Securities

127

(19)

Stripped Treasury Securities

146

(1)

Federal Agency Securities

147

(6)

Summary

153

(2)

CHAPTER 7 Corporate Debt Instruments

155

(32)

Corporate Bonds

156

(18)

Medium-Term Notes

174

(3)

Commercial Paper

177

(5)

Bankruptcy and Creditor Rights

182

(2)

Summary

184

(3)

CHAPTER 8 Municipal Securities

187

(19)

Types and Features of Municipal Securities

188

(7)

Municipal Money Market Products

195

(1)

Municipal Derivative Securities

196

(3)

Credit Risk

199

(1)

Risks Associated with Investing in Municipal Securities

200

(1)

Yields on Municipal Bonds

201

(1)

Municipal Bond Market

202

(1)

The Taxable Municipal Bond Market

203

(1)

Summary

204

(2)

CHAPTER 9 Non-U.S. Bonds

206

(19)

Classification of Global Bond Markets

207

(2)

Foreign Exchange Risk and Bond Returns

209

(1)

Eurobond Market

210

(4)

Non—U.S. Government Bond Markets

214

(7)

The Pfandbriefe Market

221

(1)

Emerging Market Bonds

221

(1)

Summary

222

(3)

CHAPTER 10 Residential Mortgage Loans

225

(18)

What Is a Mortgage?

226

(1)

Participants in the Mortgage Market

226

(3)

Alternative Mortgage Instruments

229

(6)

Nonconforming Mortgages

235

(1)

Risks Associated with Investing in Mortgages

236

(5)

Summary

241

(2)

CHAPTER 11 Mortgage Pass-Through Securities

243

(30)

Cash Flow Characteristics

244

(1)

WAC and WAM

244

(1)

Agency Pass-Throughs

245

(1)

Nonagency Pass-Throughs

246

(2)

Prepayment Conventions and Cash Flow

248

(8)

Factors Affecting Prepayments and Prepayment Modeling

256

(7)

Cash Flow for Nonagency Pass-Throughs

263

(2)

Cash Flow Yield

265

(2)

Prepayment Risk and Asset/Liability Management

267

(2)

Secondary Market Trading

269

(1)

Summary

270

(3)

HAPTER 12 Collateralized Mortgage Obligations and Stripped Mortgage-Backed Securities

273

(31)

Collateralized Mortgage Obligations

274

(24)

Stripped Mortgage-Backed Securities

298

(2)

Summary

300

(4)

CHAPTER 13 Commercial Mortgage-Backed Securities

304

(24)

Commercial Mortgage Loans

305

(2)

Commercial Mortgage-Backed Securities

307

(19)

Summary

326

(2)

CHAPTER 14 Asset-Backed Securities

328

(20)

Creation of an ABS

329

(8)

Collateral Type and Sectiritization Structure

337

(1)

Credit Risks Associated with Investing in ABS

338

(3)

Review of Several Major Twos of ABS

341

(4)

Summary

345

(3)

CHAPTER 15 Collateralized Debt Obligations

348

(14)

Structure of a CDO

349

(1)

Arbitrage Transactions

350

(3)

Cash Flow Transactions

353

(3)

Market Value Transactions

356

(2)

Synthetic CDOs

358

(1)

Summary

359

(3)

CHAPTER 16 Interest-Rate Models

362

(15)

Mathematical Description of One-Factor Interest-Rate Models

363

(3)

Arbitrage-Free Versus Equilibrium Models

366

(3)

Empirical Evidence on Interest-Rate Changes

369

(2)

Selecting an Interest-Rate Model

371

(1)

Estimating Interest-Rate Volatility Using Historical Data

372

(3)

Summary

375

(2)

CHAPTER 17 Analysis of Bonds with Embedded Options

377

(30)

Drawbacks of Traditional Yield Spread Analysis

378

(1)

Static Spread: An Alternative to Yield Spread

378

(5)

Callable Bonds and Their Investment Characteristics

383

(3)

Components of a Bond with an Embedded Option

386

(1)

Valuation Model

387

(13)

Option-Adjusted Spread

400

(1)

Effective Duration and Convexity

401

(2)

Summary

403

(4)

CHAPTER 18 Analysis of Residential Mortgage-Backed Securities

407

(25)

Static Cash Flow Yield Methodology

408

(9)

Monte Carlo Simulation Methodology

417

(10)

Total Return Analysis

427

(1)

Summary

428

(4)

CHAPTER 19 Analysis of Convertible Bonds

432

(12)

Convertible Bond Provisions

432

(2)

Minimum Value of a Convertible Bond

434

(1)

Market Conversion Price

435

(1)

Current Income of Convertible Bond Versus Stock

436

(1)

Downside Risk with a Convertible Bond

437

(1)

Investment Characteristics of a Convertible Bond

438

(1)

Pros and Cons of Investing in a Convertible Bond

438

(2)

Types of Investors in Convertible Bonds

440

(1)

Options Approach

441

(1)

Summary

442

(2)

CHAPTER 20 Corporate Bond Credit Analysis

444

(49)

Overview of Corporate Bond Credit Analysis

445

(2)

Analysis of Business Risk

447

(3)

Corporate Governance Risk

450

(3)

Financial Risk

453

(3)

Corporate Bond Credit Analysis and Equity Analysis

456

(1)

Summary

457

(2)

Appendix A

459

(30)

Appendix B

489

(4)

CHAPTER 21 Credit Risk Modeling

493

(17)

Difficulties in Credit Risk Modeling

494

(1)

Overview of Credit Risk Modeling

495

(1)

Credit Ratings Versus Credit Risk Models

496

(1)

Structural Models

496

(8)

Reduced-Form Models

504

(3)

Incomplete Information Models

507

(1)

Summary

508

(2)

HAPTER 22 Active Bond Portfolio Management Strategies

510

(40)

Overview of the Investment Management Process

511

(3)

Tracking Error and Bond Portfolio Strategies

514

(8)

Active Portfolio Strategies

522

(17)

The Use of Leverage

539

(6)

Summary

545

(5)

CHAPTER 23 Indexing

550

(10)

Objective of and Motivation for Bond Indexing

551

(1)

Factors to Consider in Selecting an Index

552

(1)

Bond Indexes

553

(1)

Indexing Methodologies

554

(2)

Logistical Problems in Implementing an Indexing Strategy

556

(1)

Enhanced Indexing

557

(1)

Summary

558

(2)

CHAPTER 24 Liability Funding Strategies

560

(32)

General Principles of Asset/Liability Management

561

(5)

Immunization of a Portfolio to Satisfy a Single Liability

566

(15)

Structuring a Portfolio to Satisfy Multiple Liabilities

581

(3)

Extensions of Liability Funding Strategies

584

(1)

Combining Active and Immunization Strategies

585

(1)

Summary

586

(6)

CHAPTER 25 Bond Performance Measurement and Evaluation

592

(17)

Requirements for a Bond Performance and Attribution Analysis Process

593

(1)

Performance Measurement

593

(7)

Performance Attribution Analysis

600

(5)

Summary

605

(4)

CHAPTER 26 Interest-Rate Futures Contracts

609

(31)

Mechanics of Futures Trading

610

(2)

Futures Versus Forward Contracts

612

(1)

Risk and Return Characteristics of Futures Contracts

613

(1)

Currently Traded Interest-Rate Futures Contracts

613

(9)

Pricing and Arbitrage in the Interest-Rate Futures Market

622

(8)

Bond Portfolio Management Applications

630

(7)

Summary

637

(3)

CHAPTER 27 Interest-Rate Options

640

(43)

Options Defined

641

(1)

Differences Between an Option and a Futures Contract

641

(1)

Types of Interest-Rate Options

641

(3)

Intrinsic Value and Time Value of an Option

644

(2)

Profit and Loss Profiles for Simple Naked Option Strategies

646

(12)

Put–Call Parity Relationship and Equivalent Positions

658

(2)

Option Price

660

(1)

Models for Pricing Options

661

(8)

Sensitivity of Option Price to Change in Factors

669

(4)

Hedge Strategies

673

(5)

Summary

678

(5)

CHAPTER 28 Interest-Rate Swaps and Agreements

683

(36)

Interest-Rate Swaps

684

(24)

Interest-Rate Agreements (Caps and Floors)

708

(7)

Summary

715

(4)

CHAPTER 29 Credit Derivatives

719

(22)

Types of Credit Risk

720

(1)

Categorization of Credit Derivatives

721

(1)

ISDA Documentation

721

(2)

Asset Swaps

723

(2)

Total Return Swaps

725

(2)

Credit Default Swaps

727

(6)

Credit Spread Options

733

(2)

Credit Spread Forwards

735

(1)

Structured Credit Products

736

(1)

Summary

737

(4)

Index

741

Amazon no longer offers textbook rentals. We do!

Bond Markets, Analysis, and Strategies

Bond Markets, Analysis, and Strategies

9780131986435

0131986430

Summary

Table of Contents

Supplemental Materials

Write a Review

Amazon no longer offers textbook rentals. We do!

Bond Markets, Analysis, and Strategies

Bond Markets, Analysis, and Strategies

9780131986435

0131986430

Summary

Table of Contents

Supplemental Materials

Write a Review

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