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Fixed Income Analysis Workbook, 2nd Edition

ISBN: 978-1-118-04485-8
360 pages
January 2011
Fixed Income Analysis Workbook, 2nd Edition (1118044851) cover image
In this fully revised and updated Second Edition of Fixed Income Analysis, readers will be introduced to a variety of important fixed income analysis issues, including the general principles of credit analysis, term structure and volatility of interest rates, and valuing bonds with embedded options.
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PART I Learning Outcomes, Summary Overview, and Problems

CHAPTER 1 Features of Debt Securities 3

Learning Outcomes 3

Summary Overview 3

Problems 5

CHAPTER 2 Risks Associated with Investing in Bonds 8

Learning Outcomes 8

Summary Overview 9

Problems 11

CHAPTER 3 Overview of Bond Sectors and Instruments 15

Learning Outcomes 15

Summary Overview 16

Problems 19

CHAPTER 4 Understanding Yield Spreads 22

Learning Outcomes 22

Summary Overview 23

Problems 25

CHAPTER 5 Introduction to the Valuation of Debt Securities 29

Learning Outcomes 29

Summary Overview 29

Problems 31

CHAPTER 6 Yield Measures, Spot Rates, and Forward Rates 33

Learning Outcomes 33

Summary Overview 34

Problems 35

CHAPTER 7 Introduction to the Measurement of Interest Rate Risk 41

Learning Outcomes 41

Summary Overview 42

Problems 44

CHAPTER 8 Term Structure and Volatility of Interest Rates 49

Learning Outcomes 49

Summary Overview 49

Problems 52

CHAPTER 9 Valuing Bonds with Embedded Options 55

Learning Outcomes 55

Summary Overview 55

Problems 58

CHAPTER 10 Mortgage-Backed Sector of the BondMarket 63

Learning Outcomes 63

Summary Overview 63

Problems 65

CHAPTER 11 Asset-Backed Sector of the BondMarket 73

Learning Outcomes 73

Summary Overview 73

Problems 78

CHAPTER 12 ValuingMortgage-Backed and Asset-Backed Securities 83

Learning Outcomes 83

Summary Overview 83

Problems 86

CHAPTER 13 Interest Rate Derivative Instruments 92

Learning Outcomes 92

Summary Overview 92

Problems 94

CHAPTER 14 Valuation of Interest Rate Derivative Instruments 98

Learning Outcomes 98

Summary Overview 99

Problems 100

CHAPTER 15 General Principles of Credit Analysis 106

Learning Outcomes 106

Summary Overview 107

Problems 109

CHAPTER 16 Introduction to Bond Portfolio Management 114

Learning Outcomes 114

Summary Overview 114

Problems 116

CHAPTER 17 Measuring a Portfolio's Risk Profile 119

Learning Outcomes 119

Summary Overview 120

Problems 122

CHAPTER 18 Managing Funds Against a Bond Market Index 129

Learning Outcomes 129

Summary Overview 130

Problems 132

CHAPTER 19 Portfolio Immunization and Cash Flow Matching 140

Learning Outcomes 140

Summary Overview 140

Problems 142

CHAPTER 20 Relative-ValueMethodologies for Global Credit Bond Portfolio Management 144

Learning Outcomes 144

Summary Overview 144

Problems 146

CHAPTER 21 International Bond Portfolio Management 151

Learning Outcomes 151

Summary Overview 152

Problems 155

CHAPTER 22 Controlling Interest Rate Risk with Derivatives 159

Learning Outcomes 159

Summary Overview 160

Problems 162

CHAPTER 23 HedgingMortgage Securities to Capture Relative Value 167

Learning Outcomes 167

Summary Overview 167

Problems 169

CHAPTER 24 Credit Derivatives in Bond Portfolio Management 172

Learning Outcomes 172

Summary Overview 172

Problems 174

PART II Solutions

CHAPTER 1 Features of Debt Securities 183

Solutions 183

CHAPTER 2 Risks Associated with Investing in Bonds 186

Solutions 186

CHAPTER 3 Overview of Bond Sectors and Instruments 191

Solutions 191

CHAPTER 4 Understanding Yield Spreads 197

Solutions 197

CHAPTER 5 Introduction to the Valuation of Debt Securities 201

Solutions 201

CHAPTER 6 Yield Measures, Spot Rates, and Forward Rates 207

Solutions 207

CHAPTER 7 Introduction to the Measurement of Interest Rate Risk 219

Solutions 219

CHAPTER 8 Term Structure and Volatility of Interest Rates 225

Solutions 225

CHAPTER 9 Valuing Bonds with Embedded Options 231

Solutions 231

CHAPTER 10 Mortgage-Backed Sector of the Bond Market 238

Solutions 238

CHAPTER 11 Asset-Backed Sector of the BondMarket 251

Solutions 251

CHAPTER 12 ValuingMortgage-Backed and Asset-Backed Securities 258

Solutions 258

CHAPTER 13 Interest Rate Derivative Instruments 264

Solutions 264

CHAPTER 14 Valuation of Interest Rate Derivative Instruments 270

Solutions 270

CHAPTER 15 General Principles of Credit Analysis 281

Solutions 281

CHAPTER 16 Introduction to Bond Portfolio Management 287

Solutions 287

CHAPTER 17 Measuring a Portfolio’s Risk Profile 290

Solutions 290

CHAPTER 18 Managing Funds Against a Bond Market Index 298

Solutions 298

CHAPTER 19 Portfolio Immunization and Cash Flow Matching 307

Solutions 307

CHAPTER 20 Relative-ValueMethodologies for Global Credit Bond Portfolio Management 311

Solutions 311

CHAPTER 21 International Bond Portfolio Management 316

Solutions 316

CHAPTER 22 Controlling Interest Rate Risk with Derivatives 324

Solutions 324

CHAPTER 23 HedgingMortgage Securities to Capture Relative Value 331

Solutions 331

CHAPTER 24 Credit Derivatives in Bond Portfolio Management 335

Solutions 335

About the CFA Program 343

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FRANK J. FABOZZI, PHD, CFA, CFP, is an Adjunct Professor of Finance and Becton Fellow at Yale University's School of Management. He is also Editor of the Journal of Portfolio Management and a consultant.
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