# Fixed Income Analysis, 3ed

ISBN: 9788126563128

740 pages

## Description

Fixed Income Analysis is a new edition of Frank Fabozzi's Fixed Income Analysis, Second Edition that provides authoritative and up-to-date coverage of how investment professionals analyze and manage fixed income portfolios. With detailed information from CFA Institute, this guide contains comprehensive, example-driven presentations of all essential topics in the field to provide value for self-study, general reference, and classroom use. Readers are first introduced to the fundamental concepts of fixed income before continuing on to analysis of risk, asset-backed securities, term structure analysis and a general framework for valuation that assumes no prior relevant background.

Foreword

Preface

Acknowledgments

About the CFA Investment Series

Part I Fixed-Income Essentials

Chapter 1 Fixed-Income Securities: Defining Elements

1. Introduction

2. Overview of a Fixed-Income Security

3. Legal, Regulatory and Tax Considerations

4. Structure of a Bond's Cash Flows

5. Bonds with Contingency Provisions

6. Summary

Chapter 2 Fixed-Income Markets: Issuance, Trading and Funding

1. Introduction

2. Overview of Global Fixed-Income Markets

3. Primary and Secondary Bond Markets

4. Sovereign Bonds

5. Non-Sovereign Government, Quasi-Government and Supranational Bonds

6. Corporate Debt

7. Short-Term Funding Alternatives Available to Banks

8. Summary

Chapter 3 Introduction to Fixed-Income Valuation

1. Introduction

2. Bond Prices and the Time Value of Money

3. Prices and Yields: Conventions for Quotes and Calculations

4. The Maturity Structure of Interest Rates

5. Yield Spreads

6. Summary

Part II Analysis of Risk

Chapter 4 Understanding Fixed-Income Risk and Return

1. Introduction

2. Sources of Return

3. Interest Rate Risk on Fixed-Rate Bonds

4. Interest Rate Risk and the Investment Horizon

5. Credit and Liquidity Risk

6. Summary

Chapter 5 Fundamentals of Credit Analysis

1. Introduction

2. Credit Risk

3. Capital Structure, Seniority Ranking and Recovery Rates

4. Ratings Agencies, Credit Ratings and Their Role in the Debt Markets

5. Traditional Credit Analysis: Corporate Debt Securities

6. Credit Risk vs. Return: Yields and Spreads

7. Special Considerations of High-Yield, Sovereign and Non-Sovereign Credit Analysis

8. Summary

Chapter 6 Credit Analysis Models

1. Introduction

2. Measures of Credit Risk

3. Traditional Credit Models

4. Structural Models

5. Reduced Form Models

6. The Term Structure of Credit Spreads

7. Asset-Backed Securities

8. Summary

Part III Asset-Backed Securities

Chapter 7 Introduction to Asset-Backed Securities

1. Introduction

2. Benefits of Securitization for Economies and Financial Markets

3. The Securitization Process

4. Residential Mortgage Loans

5. Residential Mortgage-Backed Securities

6. Commercial Mortgage-Backed Securities

7. Non-Mortgage Asset-Backed Securities

8. Collateralized Debt Obligations

9. Summary

Part IV Valuation

Chapter 8 The Arbitrage-Free Valuation Framework

1. Introduction

2. The Meaning of Arbitrage-Free Valuation

3. Interest Rate Trees and Arbitrage-Free Valuation

4. Monte Carlo Method

5. Summary

Chapter 9 Valuation and Analysis: Bonds with Embedded Options

1. Introduction

2. Overview of Embedded Options

3. Valuation and Analysis of Callable and Putable Bonds

4. Interest Rate Risk of Bonds with Embedded Options

5. Valuation and Analysis of Capped and Floored Floating-Rate Bonds

6. Valuation and Analysis of Convertible Bonds

7. Bond Analytics

8. Summary

Part V Term Structure Analysis

Chapter 10 The Term Structure and Interest Rate Dynamics

1. Introduction

2. Spot Rates and Forward Rates

3. The Swap Rate Curve

4. Traditional Theories of the Term Structure of Interest Rates

5. Modern Term Structure Models

6. Yield Curve Factor Models

7. Summary

Part VI Fixed-Income Portfolio Management

Chapter 11 Fixed-Income Portfolio Management--Part I

1. Introduction

2. A Framework for Fixed-Income Portfolio Management

3. Managing Funds against a Bond Market Index

4. Managing Funds against Liabilities

5. Summary

Chapter 12 Fixed-Income Portfolio Management--Part II

5. Other Fixed-Income Strategies

6. International Bond Investing

7. Selecting a Fixed-Income Manager

8. Summary

Chapter 13 Relative-Value Methodologies for Global Credit Bond Portfolio Management

1. Introduction

2. Credit Relative-Value Analysis

3. Total Return Analysis

4. Primary Market Analysis

5. Liquidity and Trading Analysis

6. Secondary Trade Rationales

7. Spread Analysis

8. Structural Analysis

9. Credit Curve Analysis

10. Credit Analysis

11. Asset Allocation / Sector Rotation

12. Summary

Problems

Glossary

About the Editors and Authors

About the CFA Program

Index