Bond Markets, Analysis, and Strategies

ISBN-10: 0131986430

ISBN-13: 9780131986435

Edition: 6th 2007 (Revised)

Authors: Frank J. Fabozzi

List price: $113.33
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Fabozzis, Bond Markets, prepares students to analyze the the bond market and usenbsp;the tools for managing bond portfolios. nbsp; Many texts on the market are far too theoretical, Fabozzi is quite the opposite.nbsp; This text covers Bonds, analytical techniques for valuing bonds and quantifying their exposure to changes in interest rates, and portfolio strategies for achieving a clientrsquo;s objectives.
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Book details

List price: $113.33
Edition: 6th
Copyright year: 2007
Publisher: Prentice Hall PTR
Publication date: 6/13/2006
Binding: Hardcover
Pages: 792
Size: 7.00" wide x 9.25" long x 1.25" tall
Weight: 2.838
Language: English

Douglas J. Lucas is Executive Director and Head of CDO Research at UBS. He is also Chairman of The Bond Market Association's CDO Research Committee and ranked top three in CDO research in the Institutional Investor's fixed income analyst survey. Lucas has been involved in the CDO market for nearly two decades, having developed Moody's rating methodology for CDOs in 1989.LAURIE S. GOODMAN, PhD, is Managing Director and co-Head of Global Fixed Income Research at UBS. She manages U.S. Securitized Products and Treasury/Agency/Derivatives Research. Goodman has worked on Wall Street for over twenty years and is well regarded by the investor community, having won more #1 slots on the Institutional Investor All-American Fixed Income Team than any other analyst.FRANK J. FABOZZI, PhD, CFA, CPA, is an Adjunct Professor of Finance and Becton Fellow at Yale University's School of Management and a Fellow of the International Center for Finance. Fabozzi is the Editor of the Journal of Portfolio Management.

Sectors of the U.S. Bond Market
Overview of Bond Features
Risks Associated with Investing in Bonds
Secondary Market for Bonds
Financial Innovation and the Bond Market
Overview of the Book
Pricing of Bonds
Review of Time Value of Money
Pricing a Bond
Pricing Floating-Rate and Inverse-Floating-Rate Securities
Price Quotes and Accrued Interest
Measuring Yield
Computing the Yield or Internal Rate of Return on Any Investment
Conventional Yield Measures
Potential Sources of a Bond's Dollar Return
Total Return
Applications of the Total Return (Horizon Analysis)
Calculating Yield Changes
Bond Price Volatility
Review of the Price-Yield Relationship for Option-Free Bonds
Price Volatility Characteristics of Option-Free Bonds
Measures of Bond Price Volatility
Additional Concerns When Using Duration
Don't Think of Duration as a Measure of Time
Approximating a Bond's Duration and Convexity Measure
Measuring a Bond Portfolio's Responsiveness to Nonparallel Changes in Interest Rates
Factors Affecting Bond Yields and the Term Structure of Interest Rates
Base Interest Rate
Risk Premium
Term Structure of Interest Rates
Treasury and Agency Securities Markets
Treasury Securities
Stripped Treasury Securities
Federal Agency Securities
Corporate Debt Instruments
Corporate Bonds
Medium-Term Notes
Commercial Paper
Bankruptcy and Creditor Rights
Municipal Securities
Types and Features of Municipal Securities
Municipal Money Market Products
Municipal Derivative Securities
Credit Risk
Risks Associated with Investing in Municipal Securities
Yields on Municipal Bonds
Municipal Bond Market
The Taxable Municipal Bond Market
Non-U.S. Bonds
Classification of Global Bond Markets
Foreign Exchange Risk and Bond Returns
Eurobond Market
Non-U.S. Government Bond Markets
The Pfandbriefe Market
Emerging Market Bonds
Residential Mortgage Loans
What Is a Mortgage?
Participants in the Mortgage Market
Alternative Mortgage Instruments
Nonconforming Mortgages
Risks Associated with Investing in Mortgages
Mortgage Pass-Through Securities
Cash Flow Characteristics
Agency Pass-Throughs
Nonagency Pass-Throughs
Prepayment Conventions and Cash Flow
Factors Affecting Prepayments and Prepayment Modeling
Cash Flow for Nonagency Pass-Throughs
Cash Flow Yield
Prepayment Risk and Asset/Liability Management
Secondary Market Trading
Collateralized Mortgage Obligations and Stripped Mortgage-Backed Securities
Collateralized Mortgage Obligations
Stripped Mortgage-Backed Securities
Commercial Mortgage-Backed Securities
Commercial Mortgage Loans
Commercial Mortgage-Backed Securities
Asset-Backed Securities
Creation of an ABS
Collateral Type and Securitization Structure
Credit Risks Associated with Investing in ABS
Review of Several Major Types of ABS
Collateralized Debt Obligations
Structure of a CDO
Arbitrage Transactions
Cash Flow Transactions
Market Value Transactions
Synthetic CDOs
Interest-Rate Models
Mathematical Description of One-Factor Interest-Rate Models
Arbitrage-Free Versus Equilibrium Models
Empirical Evidence on Interest-Rate Changes
Selecting an Interest-Rate Model
Estimating Interest-Rate Volatility Using Historical Data
Analysis of Bonds with Embedded Options
Drawbacks of Traditional Yield Spread Analysis
Static Spread: An Alternative to Yield Spread
Callable Bonds and Their Investment Characteristics
Components of a Bond with an Embedded Option
Valuation Model
Option-Adjusted Spread
Effective Duration and Convexity
Analysis of Residential Mortgage-Backed Securities
Static Cash Flow Yield Methodology
Monte Carlo Simulation Methodology
Total Return Analysis
Analysis of Convertible Bonds
Convertible Bond Provisions
Minimum Value of a Convertible Bond
Market Conversion Price
Current Income of Convertible Bond Versus Stock
Downside Risk with a Convertible Bond
Investment Characteristics of a Convertible Bond
Pros and Cons of Investing in a Convertible Bond
Types of Investors in Convertible Bonds
Options Approach
Corporate Bond Credit Analysis
Overview of Corporate Bond Credit Analysis
Analysis of Business Risk
Corporate Governance Risk
Financial Risk
Corporate Bond Credit Analysis and Equity Analysis
Appendix A
Appendix B
Credit Risk Modeling
Difficulties in Credit Risk Modeling
Overview of Credit Risk Modeling
Credit Ratings Versus Credit Risk Models
Structural Models
Reduced-Form Models
Incomplete Information Models
Active Bond Portfolio Management Strategies
Overview of the Investment Management Process
Tracking Error and Bond Portfolio Strategies
Active Portfolio Strategies
The Use of Leverage
Objective of and Motivation for Bond Indexing
Factors to Consider in Selecting an Index
Bond Indexes
Indexing Methodologies
Logistical Problems in Implementing an Indexing Strategy
Enhanced Indexing
Liability Funding Strategies
General Principles of Asset/Liability Management
Immunization of a Portfolio to Satisfy a Single Liability
Structuring a Portfolio to Satisfy Multiple Liabilities
Extensions of Liability Funding Strategies
Combining Active and Immunization Strategies
Bond Performance Measurement and Evaluation
Requirements for a Bond Performance and Attribution Analysis Process
Performance Measurement
Performance Attribution Analysis
Interest-Rate Futures Contracts
Mechanics of Futures Trading
Futures Versus Forward Contracts
Risk and Return Characteristics of Futures Contracts
Currently Traded Interest-Rate Futures Contracts
Pricing and Arbitrage in the Interest-Rate Futures Market
Bond Portfolio Management Applications
Interest-Rate Options
Options Defined
Differences Between an Option and a Futures Contract
Types of Interest-Rate Options
Intrinsic Value and Time Value of an Option
Profit and Loss Profiles for Simple Naked Option Strategies
Put-Call Parity Relationship and Equivalent Positions
Option Price
Models for Pricing Options
Sensitivity of Option Price to Change in Factors
Hedge Strategies
Interest-Rate Swaps and Agreements
Interest-Rate Swaps
Interest-Rate Agreements (Caps and Floors)
Credit Derivatives
Types of Credit Risk
Categorization of Credit Derivatives
ISDA Documentation
Asset Swaps
Total Return Swaps
Credit Default Swaps
Credit Spread Options
Credit Spread Forwards
Structured Credit Products
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