Fixed Income Analysis / Edition 2

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Overview

As part of the CFA Institute Investment Series, the Second Edition of Fixed Income Analysis has been designed for a wide range of readers, from graduate-level students focused on finance to practicing investment professionals. This book, valuable for self-study as well as for general reference, provides complete coverage of the most important issues in fixed income analysis.

In this fully revised edition, fixed income expert Frank Fabozzi—along with a number of experienced contributors—skillfully covers the fixed income marketplace, the risks associated with investing in fixed income securities, and the fundamentals of valuation and interest rate risk. This book also examines the valuation of fixed income securities with embedded options, the features of structured products (such as mortgage-backed securities and asset-backed securities), and the principles of credit analysis. Rounding out the discussion, Fixed Income Analysis, Second Edition demonstrates how to construct a portfolio that is in line with your investment objectives.

And to further enhance your understanding of the tools and techniques explored here, don't forget to pick up the Fixed Income Analysis Workbook, Second Edition —a comprehensive companion study guide containing Learning Outcomes and Summary Overview sections, along with challenging practice questions and solutions.

Straightforward and accessible, Fixed Income Analysis, Second Edition provides the even treatment of subject matter, consistency of mathematical notation, and continuity of topic coverage so critical to the learning process. Filled with in-depth insights and expert advice, this practical guide offers a detailed look at how fixed income analysis can be understood and applied to today's investment process.

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Product Details

  • ISBN-13: 9780470052211
  • Publisher: Wiley
  • Publication date: 1/16/2007
  • Series: CFA Institute Investment Series, #6
  • Edition description: Revised Edition
  • Edition number: 2
  • Pages: 768
  • Product dimensions: 7.32 (w) x 9.88 (h) x 1.63 (d)

Meet the Author

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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Table of Contents


Learning Outcomes, Summary Overview, and Problems
Features of Debt Securities     3
Learning Outcomes     3
Summary Overview     3
Problems     5
Risks Associated with Investing in Bonds     8
Learning Outcomes     8
Summary Overview     9
Problems     11
Overview of Bond Sectors and Instruments     15
Learning Outcomes     15
Summary Overview     16
Problems     19
Understanding Yield Spreads     22
Learning Outcomes     22
Summary Overview     23
Problems     25
Introduction to the Valuation of Debt Securities     29
Learning Outcomes     29
Summary Overview     29
Problems     31
Yield Measures, Spot Rates, and Forward Rates     33
Learning Outcomes     33
Summary Overview     34
Problems     35
Introduction to the Measurement of Interest Rate Risk     41
Learning Outcomes     41
Summary Overview     42
Problems     44
Term Structure and Volatility of Interest Rates     49
LearningOutcomes     49
Summary Overview     49
Problems     52
Valuing Bonds with Embedded Options     55
Learning Outcomes     55
Summary Overview     55
Problems     58
Mortgage-Backed Sector of the Bond Market     63
Learning Outcomes     63
Summary Overview     63
Problems     65
Asset-Backed Sector of the Bond Market     73
Learning Outcomes     73
Summary Overview     73
Problems     78
Valuing Mortgage-Backed and Asset-Backed Securities     83
Learning Outcomes     83
Summary Overview     83
Problems     86
Interest Rate Derivative Instruments     92
Learning Outcomes     92
Summary Overview     92
Problems     94
Valuation of Interest Rate Derivative Instruments     98
Learning Outcomes     98
Summary Overview     99
Problems     100
General Principles of Credit Analysis     106
Learning Outcomes     106
Summary Overview     107
Problems      109
Introduction to Bond Portfolio Management     114
Learning Outcomes     114
Summary Overview     114
Problems     116
Measuring a Portfolio's Risk Profile     119
Learning Outcomes     119
Summary Overview     120
Problems     122
Managing Funds Against a Bond Market Index     129
Learning Outcomes     129
Summary Overview     130
Problems     132
Portfolio Immunization and Cash Flow Matching     140
Learning Outcomes     140
Summary Overview     140
Problems     142
Relative-Value Methodologies for Global Credit Bond Portfolio Management     144
Learning Outcomes     144
Summary Overview     144
Problems     146
International Bond Portfolio Management     151
Learning Outcomes     151
Summary Overview     152
Problems     155
Controlling Interest Rate Risk with Derivatives     159
Learning Outcomes     159
Summary Overview     160
Problems     162
Hedging Mortgage Securities to Capture Relative Value      167
Learning Outcomes     167
Summary Overview     167
Problems     169
Credit Derivatives in Bond Portfolio Management     172
Learning Outcomes     172
Summary Overview     172
Problems     174
Solutions
Features of Debt Securities     183
Solutions     183
Risks Associated with Investing in Bonds     186
Solutions     186
Overview of Bond Sectors and Instruments     191
Solutions     191
Understanding Yield Spreads     197
Solutions     197
Introduction to the Valuation of Debt Securities     201
Solutions     201
Yield Measures, Spot Rates, and Forward Rates     207
Solutions     207
Introduction to the Measurement of Interest Rate Risk     219
Solutions     219
Term Structure and Volatility of Interest Rates     225
Solutions     225
Valuing Bonds with Embedded Options     231
Solutions     231
Mortgage-Backed Sector of the Bond Market     238
Solutions     238
Asset-Backed Sector of the Bond Market      251
Solutions     251
Valuing Mortgage-Backed and Asset-Backed Securities     258
Solutions     258
Interest Rate Derivative Instruments     264
Solutions     264
Valuation of Interest Rate Derivative Instruments     270
Solutions     270
General Principles of Credit Analysis     281
Solutions     281
Introduction to Bond Portfolio Management     287
Solutions     287
Measuring a Portfolio's Risk Profile     290
Solutions     290
Managing Funds Against a Bond Market Index     298
Solutions     298
Portfolio Immunization and Cash Flow Matching     307
Solutions     307
Relative-Value Methodologies for Global Credit Bond Portfolio Management     311
Solutions     311
International Bond Portfolio Management     316
Solutions     316
Controlling Interest Rate Risk with Derivatives     324
Solutions     324
Hedging Mortgage Securities to Capture Relative Value     331
Solutions     331
Credit Derivatives in Bond Portfolio Management     335
Solutions      335
About the CFA Program     343
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