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Fixed Income Analysis Workbook, 3rd Edition

ISBN: 978-1-118-99950-9
192 pages
February 2015
Fixed Income Analysis Workbook, 3rd Edition (1118999509) cover image

Description

Fixed Income Analysis Workbook helps busy professionals better understand and apply the concepts and methodologies essential to fixed income portfolio management. A companion to the Fixed Income Analysis text, this helpful workbook offers learning objectives, chapter summaries, and practice problems that reinforce the practitioner-oriented material to give readers the confidence they need before applying these concepts to real cases. Readers will test their understanding of the metrics, methods, and mechanics associated with fixed income portfolios, and make use of the tools and techniques described in the text.

  • Work topic-specific practice problems to facilitate intuitive understanding
  • Review each topic quickly using clear chapter summaries
  • Understand each chapter's objective to avoid missing key information
  • Practice important methods and techniques before applying them in the real world

For a more solid understanding of fixed income portfolio management, Fixed Income Analysis Workbook is a complete, practical resource.

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Table of Contents

PART I Learning Objectives, Summary Overview, and Problems

CHAPTER 1 Fixed-Income Securities: Defining Elements 3

Learning Outcomes 3

Summary Overview 3

Problems 5

CHAPTER 2 Fixed-Income Markets: Issuance, Trading, and Funding 9

Learning Outcomes 9

Summary Overview 9

Problems 11

CHAPTER 3 Introduction to Fixed-Income Valuation 15

Learning Outcomes 15

Summary Overview 15

Problems 18

CHAPTER 4 Understanding Fixed-Income Risk and Return 27

Learning Outcomes 27

Summary Overview 28

Problems 30

CHAPTER 5 Fundamentals of Credit Analysis 35

Learning Outcomes 35

Summary Overview 35

Problems 39

CHAPTER 6 Credit Analysis Models 43

Learning Outcomes 43

Summary Overview 43

Problems 44

CHAPTER 7 Introduction to Asset-Backed Securities 47

Learning Outcomes 47

Summary Overview 47

Problems 50

CHAPTER 8 The Arbitrage-Free Valuation Framework 53

Learning Outcomes 53

Summary Overview 53

Problems 54

CHAPTER 9 Valuation and Analysis: Bonds with Embedded Options 59

Learning Outcomes 59

Summary Overview 60

Problems 62

CHAPTER 10 The Term Structure and Interest Rate Dynamics 67

Learning Outcomes 67

Summary Overview 67

Problems 68

CHAPTER 11 Fixed-Income Portfolio Management—Part I 73

Learning Outcomes 73

Summary Overview 74

Problems 75

CHAPTER 12  Fixed-Income Portfolio Management—Part II 81

Learning Outcomes 81

Summary Overview 82

Problems 83

CHAPTER 13 Relative-Value Methodologies for Global Credit Bond Portfolio Management 91

Learning Outcomes 91

Summary Overview 91

Problems 93

PART II Solutions

CHAPTER 1 Fixed-Income Securities: Defining Elements 103

Solutions 103

CHAPTER 2 Fixed-Income Markets: Issuance, Trading, and Funding 107

Solutions 107

CHAPTER 3 Introduction to Fixed-Income Valuation 111

Solutions 111

CHAPTER 4 Understanding Fixed-Income Risk and Return 125

Solutions 125

CHAPTER 5 Fundamentals of Credit Analysis 131

Solutions 131

CHAPTER 6 Credit Analysis Models 133

Solutions 133

CHAPTER 7 Introduction to Asset-Backed Securities 135

Solutions 135

CHAPTER 8 The Arbitrage-Free Valuation Framework 141

Solutions 141

CHAPTER 9 Valuation and Analysis: Bonds with Embedded Options 145

Solutions 145

CHAPTER 10 The Term Structure and Interest Rate Dynamics 151

Solutions 151

CHAPTER 11 Fixed-Income Portfolio Management—Part I 155

Solutions 155

CHAPTER 12 Fixed-Income Portfolio Management—Part II 159

Solutions 159

CHAPTER 13 Relative-Value Methodologies for Global Credit Bond Portfolio Management 165

Solutions 165

About the CFA Program 171

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Author Information

BARBARA S. PETITT, PHD, CFA, is Director, Curriculum Projects, EMEA, in the Education Division at CFA Institute. She holds a master's in management from EDHEC Business School as well as a master's in research and a PhD in finance from the University of Grenoble. She is a member of CFA Institute and CFA Society of the UK.

JERALD E. PINTO, PHD, CFA, has been at CFA Institute since 2002 as Visiting Scholar, Vice President, and now Director, Curriculum Projects, in the Education Division for the CFA and CIPM programs. He holds an MBA from Baruch College and a PhD in finance from the Stern School and is a member of CFA Virginia.

WENDY L. PIRIE, PHD, CFA, is Director, Curriculum Projects, in the Education Division at CFA Institute. She holds a PhD in accounting and finance from Queen's University at Kingston, Ontario, and MBAs from the Universities of Toronto and Calgary. She is a member of CFA Institute, New York Society of Security Analysts, and CFA Society of Chicago.

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