The Handbook of Fixed Income Securities by Frank Fabozzi
This updated and revised edition of editor Frank J. Fabozzi’s classic resource includes the most current information available about fixed income securities, how to evaluate this information and how it can be used to enhance returns. In particular, there is updated and expanded coverage on bond market indexes, the high-yield bond market, international bond markets and instruments, brady bonds, standard & poor’s sovereign ratings criteria, high-yield analysis of emerging markets debt, mortgages and overview of mortgage-backed securities, collateralized mortgage obligations, nonagency CMOs, commercial mortgage-backed securities, auto-loan-backed securities, home equity loans (HELs) and HEL-backed securities, manufactured housing-backed ABS, credit card ABS, evaluating amortizing ABS: a primer on static spread, global corporate bond portfolio management, and international bond investing and portfolio management.
PART ONE: BACKGROUND
Chapter 1. Overview of the Types and Features of Fixed Income Securities
Chapter 2. Risks Associated with Investing in Fixed Income Securities
Chapter 3. Bond Market Indexes
Chapter 4. Electronic Trading for Fixed Income Markets
Chapter 5. Macro-Economic Dynamics and the Corporate Bond Market
Chapter 6. Bond Pricing, Yield Measures, and Total Return
Chapter 7. Measuring Interest-Rate Risk
Chapter 8. The Structure of Interest Rates
PART TWO: GOVERNMENT SECURITIES AND CORPORATE DEBT OBLIGATIONS
Chapter 9. U.S. Treasury Securities
Chapter 10. Agency Debt Securities
Chapter 11. Municipal Bonds
Chapter 12. Corporate Bonds
Chapter 13. Leveraged Loans
Chapter 14. Convertible Securities and Their Investment Application
Chapter 15. Structured Notes and Credit-Linked Notes
Chapter 16. Private Money Market Instruments
Chapter 17. Floating-Rate Securities
Chapter 18. Inflation-Linked Bonds
Chapter 19. International Bond Markets and Instruments
Chapter 20. Emerging Markets Debt
Chapter 21. Fixed Income Exchange Traded Funds
Chapter 22. Covered Bonds
Chapter 23. Nonconvertible Preferred Stock
PART THREE: SECURITIZED PRODUCTS
Chapter 24. An Overview of Mortgages and the Mortgage Market
Chapter 25. Agency Mortgage-Backed Securities
Chapter 26. Agency Collateralized Mortgage Obligations
Chapter 27. The Effect ofAgency CMO PAC Bond Features on Performance
Chapter 28. Agency CMO Z-Bonds
Chapter 29. Support Bonds with Schedules in Agency CMO Deals
Chapter 30. Stripped Mortgage-Backed Securities
Chapter 31. Nonagency Residential Mortgage-Backed Securities
Chapter 32. Commercial Mortgage-Backed Securities
Chapter 33. Credit Card Asset-Backed Securities
Chapter 34. Securities Backed by Auto Loans and Leases, Equipment Loans and Leases, and Student Loans
Chapter 35. Collateralized Loan Obligations
PART FOUR: TERM STRUCTURE OF INTEREST RATES
Chapter 36. Overview of Forward Rate Analysis
Chapter 37. A Framework for Analyzing Yield-Curve Trades
Chapter 38. Empirical Yield-Curve Dynamics and Yield-Curve Exposure
Chapter 39. Term Structure Modeling with No-Arbitrage Interest Rate Models
PART FIVE: VALUATION MODELING
Chapter 40. Valuation of Bonds with Embedded Options
Chapter 41. Valuation of Agency Mortgage-Backed Securities
Chapter 42. Convertible Securities: Their Structures, Valuation, and Trading
PART SIX: CREDIT RISK
Chapter 43. Credit Analysis for Corporate Bonds
Chapter 44. The Credit Analysis of Municipal General Obligation and Revenue Bonds
Chapter 45. Credit-Risk Modeling
PART SEVEN: MULTIFACTOR RISK MODELS
Chapter 46. Introduction to Multifactor Risk Models in Fixed Income and Their Applications
Chapter 47. Analyzing Risk from Multifactor Fixed Income Models
Chapter 48. Hedging Interest-Rate Risk with Term-Structure Factor Models
PART EIGHT: BOND PORTFOLIO MANAGEMENT
Chapter 49. Introduction to Bond Portfolio Management
Chapter 50. Quantitative Management of Benchmarked Portfolios
Chapter 51. Global Credit Bond Portfolio Management
Chapter 52. Elements of Managing a High-Yield Bond Portfolio
Chapter 53. International Bond Portfolio Management
Chapter 54. Fixed Income Transition Management
Chapter 55. Managing the Spread Risk of Credit Portfolios Using the Duration Times Spread Measure
Chapter 56. Investing in Distressed Structured Credit Securities
Chapter 57. Hedge Fund Fixed Income Strategies
Chapter 58. Financing Positions in the Bond Market
PART NINE: DERIVATIVES
Chapter 59. Introduction to Interest-Rate Futures and Options Contracts
Chapter 60. Pricing Futures and Portfolio Applications
Chapter 61. Controlling Interest-Rate Risk with Futures and Options
Chapter 62. Interest-Rate Swaps and Swaptions
Chapter 63. The Valuation of Interest-Rate Swaps and Swaptions
Chapter 64. The Basics of Interest-Rate Options
Chapter 65. Interest-Rate Caps and Floors
Chapter 66. Credit Derivatives
Chapter 67. Credit Derivative Valuation and Risk
Chapter 68. Hedging Tail Risk
PART TEN: PERFORMANCE EVALUATION AND RETURN ATTRIBUTION ANALYSIS
Chapter 69. Principles of Performance Attribution
Chapter 70. Performance Attribution for Portfolios of Fixed Income Securities
Chapter 71. Advanced Topics in Performance Attribution
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Author(s): Frank J. Fabozzi, S. V. Mann (eds.)
Publisher: McGraw-Hill Education, Year: 2012
ISBN: 0071768467,9780071768467