The Handbook of Fixed Income Securities
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The world's most trusted fixed income resource for more than two decades, now substantially revised and updated The Handbook of Fixed Income Securities is the investing industry's most authoritative, widely followed fixed income reference. Institutional and individual investors have learned to rely on the handbook for its scope and detail, along with the unquestioned global authority and expertise of its contributors.This thoroughly revised seventh edition features updated facts and formulas for analyzing, valuing, and managing fixed income instruments and their derivatives in today's evolving marketplace, including: Types, features, and uses of fixed income securities Risks and risk control strategies Basics of fixed income analytics, from bond pricing to price volatility measures Binomial and Monte Carlo valuation methodologies Active and structured portfolio management strategies Interest rate and credit derivatives and their portfolio management applications Increased coverage of electronic trading, international portfolio management, mortgage-backed and asset-backed securities, collateralized debt obligations, and innovative fixed income applications The Handbook of Fixed Income Securities, Seventh Edition, is the most all-inclusive, up-to-date source available for fixed income facts and analyses. Its valuable perspective and insights will help you enhance investment returns and avoid poor performance in the fixed income market.Since 1983, through six previous editions, The Handbook of Fixed Income Securities has been the essential reference for institutional investors, portfolio managers, financial analysts, and virtually anyone requiring access to the latest, most authoritative information on the global fixed income marketplace. But an unprecedented number of new products and approaches has brought dramatic new opportunities and risks to that marketplace.In the substantially revised seventh edition of this investment classic, leading fixed income authority Frank Fabozzi with the assistance of Steven Mann once again teams with the world's top fixed income experts to provide you with insights and details on contemporary fixed income vehicles and strategies. New and updated topics include:• Bond primary and secondary markets• Calculating investment returns• Forward rates• Eurobonds• Emerging market debt• Stable value investments• Mortgages and mortgage-backed securities• Agency mortgage pass-through securities• Collateralized mortgage obligations• Residential asset-backed securities• Securities backed by credit card receivables• Cash-collateralized debt obligations• Synthetic CDOs• Credit risk modeling• Rating agency approach to structured finance• Yield-curve analysis• The market yield curve and fitting the term structure of interest rates• Hedging interest-rate risk with term-structure factor models• Quantitative management of benchmarked portfolios• Financing positions in the bond market• Transition management• Credit derivatives The Handbook of Fixed Income Securities, Seventh Edition, equips you with a comprehensive overview of all fixed income securities and strategies and continues to be the investment industry's most accessible and all-inclusive resource. Invaluable for its theoretical insights, unsurpassed in its hands-on guidance, and unequalled in the expertise and authority of its contributors, this concise, complete explanation of fixed income securities and applications delivers the data and knowledge investment professionals need and remains the one fixed income answer book to have within reach at all times.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. Booknews 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.
Ch. 1Overview of the types and features of fixed income securities3Ch. 2Risks associated with investing in fixed income securities21Ch. 3The primary and secondary bond markets31Ch. 4Bond market indexes53Ch. 5Bond pricing, yield measures, and total return73Ch. 6Calculating investment returns107Ch. 7The structure of interest rates135Ch. 8Overview of forward rate analysis159Ch. 9Measuring interest-rate risk183Ch. 10U.S. treasury and agency securities229Ch. 11Municipal bonds251Ch. 12Private money market instruments285Ch. 13Corporate bonds305Ch. 14Medium-term notes339Ch. 15Inflation-linked bonds351Ch. 16Floating-rate securities373Ch. 17Nonconvertible preferred stock385Ch. 18International bond markets and instruments393Ch. 19The eurobond market409Ch. 20Emerging markets debt441Ch. 21Stable value investments471Ch. 22An overview of mortgages and the mortgage market487Ch. 23Agency mortgage-backed securities513Ch. 24Collateralized mortgage obligations541Ch. 25Nonagency CMOs579Ch. 26Residential asset-backed securities589Ch. 27Commercial mortgage-backed securities615Ch. 28Credit card asset-backed securities629Ch. 29Securities backed by automobile loans and leases647Ch. 30Cash-collateralized debt obligations669Ch. 31Synthetic CDOs695Ch. 32Credit analysis for corporate bonds733Ch. 33Credit risk modeling779Ch. 34Guidelines in the credit analysis of municipal general obligation and revenue bonds799Ch. 35Rating agency approach to structured finance827Ch. 36Fixed income risk modeling839Ch. 37Valuation of bonds with embedded options851Ch. 38Valuation of mortgage-backed securities873Ch. 39OAS and effective duration897Ch. 40A framework for analyzing yield-curve trades913Ch. 41The market yield curve and fitting the term structure of interest rates939Ch. 42Hedging interest-rate risk with term-structure factor models967Ch. 43Introduction to bond portfolio management989Ch. 44Quantitative management of benchmarked portfolios1017Ch. 45Financing positions in the bond market1047Ch. 46Global credit bond portfolio management1061Ch. 47Bond immunization : an asset/liability optimizatin strategy1091Ch. 48Dedicated bond portfolios1103Ch. 49International bond portfolio management1119Ch. 50Transition management1147Ch. 51Introduction to interest-rate futures and options contracts1163Ch. 52Pricing futures and portfolio applications1187Ch. 53Treasury bond futures mechanics and basis valuation1201Ch. 54The basics of interest-rate options1225Ch. 55Interest-rate swaps and swaptions1249Ch. 56Interest-rate caps and floors and compound options1283Ch. 57Controlling interest-rate risk with futures and options1301Ch. 58Introduction to credit derivatives1337Ch. 59Convertible securities and their investment characteristics1371Ch. 60Convertible securities and their valuation1393App. AA review of the time value of money1443
