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Managing a Corporate Bond Portfolio

ISBN: 978-0-471-21827-2
336 pages
December 2001
Managing a Corporate Bond Portfolio (0471218278) cover image
Praise for Managing a Corporate Bond Portfolio

"Crabbe and Fabozzi's Managing a Corporate Bond Portfolio is a refreshingly good book on the neglected topic in fixed income portfolio management. If you want to understand the latest thinking in corporate bonds, what drives prices and why, read this book. You will emerge with knowledge that will help you get an edge in the competitive investing arena."
—Tim Opler, Director, Financial Strategy Group, CSFB

"A practitioner's guide . . . a creative, comprehensive, and practical book that addresses the myriad of challenges facing managers of corporate bond portfolios. The chapter on liquidity, trading, and trading costs is a must read."
—Mary Rooney
Head of Credit Strategy, Merrill Lynch

"As a Senior Portfolio Manager responsible for managing billions of dollars invested in fixed income product during the mid-1990s, Lee Crabbe was the one Wall Street strategist that I would read every week to help me figure out where value was in the corporate bond market, and for insightful and easy-to-understand special reports that educated me and most investors on the risks and opportunities inherent in new structures and subordinated products. Fortunately for me and investors, Lee Crabbe and Frank Fabozzi have written this book, which compiles much of their previous work on corporate bond valuation, along with new features that are a must read, especially in light of the volatile times in the corporate bond market over the past few years. For portfolio managers, analysts, traders, and even strategists, if there is one book in your bookshelf that you should have on corporate bond portfolio management, it is this one."
—William H. Cunningham, Managing Director, Director of Credit Strategy, J.P. Morgan Securities Inc.

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About the Authors.

Preface.

Introduction.

SECTION I: AN INTRODUCTION TO CORPORATE BONDS.

Features of Corporate Bonds.

Medium-Term Notes and Structured Notes.

Analysis of Convertible Bonds.

SECTION II: CORPORATE BOND VALUATION AND PRICE DYNAMICS.

General Principles of Corporate Bond Valuation and Yield Measures.

Measuring Interest Rate Risk.

Yield Volatility, Spead Volatility, and Corporate Yield Ratios.

Liquidity, Trading, and Trading Costs.

Corporate Spread Curve Strategies.

Business Cycles, Profit Cycles, and Corporate Bond Strategies.

SECTION III: CORPORATE CREDIT RISK.

Credit Risk.

Introduction to Corporate Bond Credit Analysis.

A Rating Transition Framework for Corporate Bond Strategy.

Valuation of Subordinated Structures.

SECTION IV: REDEMPTION ANALYSIS.

Early Redemption Features.

Valuing Corporate Bonds with Embedded Options and Structured Notes.

Credit Risk and Embedded Options.

Putable Bonds and Their Role in Corporate Bond Portfolios.

Index.
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LELAND E. CRABBE is a fixed income portfolio manager at Credit Suisse Asset Management in New York and global head of emerging market debt. He received his PhD in economics from the University of California at Los Angeles in 1988. Subsequent to that, he worked for the Federal Reserve Board in Washington, DC, as an economist in the capital market section, focusing on corporate bond and high yield research. From 1994 to 1998, he worked at Merrill Lynch in various capacities: in research as Merrill's Corporate Bond Strategist; in corporate bond syndicate as a developer of structured corporate bonds; and in emerging market bond trading.
FRANK J. FABOZZI, PhD, CFP, CPA, is Editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University's School of Management. Dr. Fabozzi is on the board of directors of the Guardian Life family of funds and the BlackRock complex of funds. He earned a doctorate in economics from the City University of New York in 1972 and, in 1994, received an honorary doctorate of humane letters from Nova Southeastern University. Dr. Fabozzi is a Fellow of the International Center for Finance at Yale University.
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