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More About This Textbook
Overview
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.
About the Author:
Frank J. Fabozzi, PhD, CFA, CFP, is an Adjunct Professor of Finance and Becton Fellow at Yale University's School of Management
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Related Subjects
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