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
—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."
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.
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.
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.
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.