The Handbook of Fixed Income Securities

by Frank J. Fabozzi

Overview

The world’s #1 fixed income book, now with 21 all-new chapters

The Handbook of Fixed Income Securities occupies the top spot as the most authoritative, widely read reference in the global fixed income marketplace. First published in 1983, this comprehensive survey of current knowledge features contributions from leading academics and practitioners and has carved out a niche that cannot and will not be equaled by any other single sourcebook.

Now, the thoroughly revised and updated seventh edition gives finance professionals the facts and formulas they need to compete in today’s transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management, and features new chapters on topics including:

• Eurobonds
• Emerging market debt
• Credit risk modeling
• Synthetics
• CDOs
• Transition management
• And many more

Product Details

ISBN-13:	9780071502054
Publisher:	McGraw Hill LLC
Publication date:	05/06/2005
Sold by:	Barnes & Noble
Format:	eBook
Pages:	1500
File size:	20 MB
Note:	This product may take a few minutes to download.

About the Author

Frank J. Fabozzi, Ph.D., C.F.A., is editor of the Journal of Portfolio Management, the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management, and one of the world's foremost authorities on fixed income securities and derivative instruments. Fabozzi is the author and editor of dozens of widely acclaimed books on fixed income securities and investments, including Fixed Income Mathematics, The Handbook of Financial Instruments, Handbook of Mortgage-Backed Securities, and numerous others.

Steven V. Mann, Ph.D., is Professor of Finance at the Moore School of Business, University of South Carolina and, for over a decade, a well-respected lecturer on fixed income analytics to Wall Street firms. He has coauthored four books and numerous articles on fixed income and derivative instruments.

Table of Contents

	Preface	xxiii
	Acknowledgments	xxv
	Contributors	xxvii
Part 1	Background
Chapter 1	Overview of the Types and Features of Fixed Income Securities	3
Chapter 2	Risks Associated with Investing in Fixed Income Securities	21
Chapter 3	A Review of the Time Value of Money	31
Chapter 4	Bond Pricing and Return Measures	51
Chapter 5	Measuring Interest Rate Risk	85
Chapter 6	The Structure of Interest Rates	131
Chapter 7	Bond Market Indexes	155
Part 2	Government and Private Debt Obligations
Chapter 8	U.S. Treasury and Agency Securities	175
Chapter 9	Municipal Bonds	197
Chapter 10	Private Money Market Instruments	231
Chapter 11	Corporate Bonds	253
Chapter 12	Medium-Term Notes	283
Chapter 13	Inflation-Indexed Bonds (TIPS)	301
Chapter 14	Floating-Rate Securities	325
Chapter 15	Nonconvertible Preferred Stock	337
Chapter 16	International Bond Markets and Instruments	361
Chapter 17	Brady Bonds	379
Chapter 18	Stable Value Investments	399
Part 3	Credit Analysis
Chapter 19	Credit Analysis for Corporate Bonds	417
Chapter 20	Credit Considerations in Evaluating High-Yield Bonds	459
Chapter 21	Investing in Chapter 11 and Other Distressed Companies	469
Chapter 22	Guidelines in the Credit Analysis of General Obligation and Revenue Municipal Bonds	491
Chapter 23	High-Yield Analysis of Emerging Markets Debt	519
Part 4	Mortgage-Backed and Asset-Backed Securities
Chapter 24	Mortgages and Overview of Mortgage-Backed Securities	549
Chapter 25	Mortgage Pass-Throughs	573
Chapter 26	Collateralized Mortgage Obligations	619
Chapter 27	Nonagency CMOS	649
Chapter 28	Commercial Mortgage-Backed Securities	663
Chapter 29	Securities Backed by Automobile Loans	679
Chapter 30	Securities Backed by Closed-End Home Equity Loans	703
Chapter 31	Securities Backed by Manufactured Housing Loans	721
Chapter 32	Securities Backed by Credit Card Receivables	739
Part 5	Fixed Income Analytics and Modeling
Chapter 33	Characteristics of and Strategies with Callable Securities	759
Chapter 34	Valuation of Bonds with Embedded Options	773
Chapter 35	Valuation of CMOs	795
Chapter 36	Fixed Income Risk Modeling	819
Chapter 37	OAS and Effective Duration	831
Chapter 38	Evaluating Amortizing ABS: A Primer on Static Spread	847
Part 6	Portfolio Management
Chapter 39	Bond Management: Past, Current, and Future	855
Chapter 40	The Active Decisions in the Selection of Passive Management and Performance Bogeys	863
Chapter 41	Managing Indexed and Enhanced Indexed Bond Portfolios	887
Chapter 42	Global Corporate Bond Portfolio Management	913
Chapter 43	Management of a High-Yield Bond Portfolio	945
Chapter 44	Bond Immunization: An Asset/Liability Optimization Strategy	957
Chapter 45	Dedicated Bond Portfolios	969
Chapter 46	Managing Market Risk Proactively at Long-Term Investment Funds	985
Chapter 47	Improving Insurance Company Portfolio Returns	1011
Chapter 48	International Bond Investing and Portfolio Management	1027
Chapter 49	International Fixed Income Investing: Theory and Practice	1061
Part 7	Equity-Linked Securities and Their Valuation
Chapter 50	Convertible Securities and Their Investment Characteristics	1103
Chapter 51	Convertible Securities and Their Valuation	1127
Part 8	Derivative Instruments and Their Portfolio Management Applications
Chapter 52	Introduction to Interest-Rate Futures and Options Contracts	1175
Chapter 53	Pricing Futures and Portfolio Applications	1197
Chapter 54	Treasury Bond Futures Mechanics and Basis Valuation	1209
Chapter 55	The Basics of Interest-Rate Options	1233
Chapter 56	Controlling Interest Rate Risk with Futures and Options	1259
Chapter 57	Interest-Rate Swaps	1297
Chapter 58	Interest-Rate Caps and Floors and Compound Options	1317
	Index	1337

Editorial Reviews

An updated and revised edition of an authoritative resource providing current information on fixed income securities. The volume's 62 chapters, each written by an authority on the subject, are divided into seven sections: general information about the investment features of fixed income securities and associated risks; domestic and foreign bonds and money market instruments; credit analysis of these instruments; mortgage- backed securities; methodologies for valuing fixed income securities; popular fixed income portfolio management strategies; and derivative instruments and their portfolio management applications. Annotation c. by Book News, Inc., Portland, Or.

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