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Fixed income analysis workbook / Frank J. Fabozzi.
Lippincott Library HG4650 .F329 2007
Available
- Format:
- Book
- Author/Creator:
- Fabozzi, Frank J.
- Series:
- CFA Institute investment series
- Language:
- English
- Subjects (All):
- Fixed-income securities.
- Physical Description:
- xi, 343 pages : illustrations ; 26 cm.
- Edition:
- Second edition.
- Place of Publication:
- Hoboken, N.J. : J. Wiley, [2007]
- Summary:
- In the Second Edition of Fixed Income Analysis, financial expert Frank Fabozzi and a team of knowledgeable contributors provide complete coverage of the most important issues in fixed income analysis. Now, in Fixed Income Analysis Workbook, Second Edition, Fabozzi offers you a wealth of practical information and exercises that will solidify your understanding of the tools and techniques associated with this discipline. This comprehensive study guide-which parallels the main book chapter by chapter-contains challenging problems and a complete set of solutions as well as concise learning outcome statements and summary overviews.
- If you want to make the most of your time in the fixed income marketplace, the lessons within this workbook can show you how. Topics reviewed include: The risks associated with investing in fixed income securities, The fundamentals of valuation and interest rate risk, The features of structured products-such as mortgage-backed securities and asset-backed securities, The principles of credit analysis, The valuation of fixed income securities with embedded options.
- Contents:
- Part I Learning Outcomes, Summary Overview, and Problems
- Chapter 1 Features of Debt Securities 3
- Learning Outcomes 3
- Problems 5
- Chapter 2 Risks Associated with Investing in Bonds 8
- Learning Outcomes 8
- Problems 11
- Chapter 3 Overview of Bond Sectors and Instruments 15
- Learning Outcomes 15
- Problems 19
- Chapter 4 Understanding Yield Spreads 22
- Learning Outcomes 22
- Problems 25
- Learning Outcomes 29
- Problems 31
- Chapter 6 Yield Measures, Spot Rates, and Forward Rates 33
- Learning Outcomes 33
- Problems 35
- Learning Outcomes 41
- Problems 44
- Chapter 8 Term Structure and Volatility of Interest Rates 49
- Learning Outcomes 49
- Problems 52
- Chapter 9 Valuing Bonds with Embedded Options 55
- Learning Outcomes 55
- Problems 58
- Chapter 10 Mortgage-Backed Sector of the Bond Market 63
- Learning Outcomes 63
- Problems 65
- Chapter 11 Asset-Backed Sector of the Bond Market 73
- Learning Outcomes 73
- Problems 78
- Chapter 12 Valuing Mortgage-Backed and Asset-Backed Securities 83
- Learning Outcomes 83
- Problems 86
- Chapter 13 Interest Rate Derivative Instruments 92
- Learning Outcomes 92
- Problems 94
- Chapter 14 Valuation of Interest Rate Derivative Instruments 98
- Learning Outcomes 98
- Problems 100
- Chapter 15 General Principles of Credit Analysis 106
- Learning Outcomes 106
- Problems 109
- Learning Outcomes 114
- Problems 116
- Chapter 17 Measuring a Portfolio's Risk Profile 119
- Learning Outcomes 119
- Problems 122
- Chapter 18 Managing Funds Against a Bond Market Index 129
- Learning Outcomes 129
- Problems 132
- Chapter 19 Portfolio Immunization and Cash Flow Matching 140
- Learning Outcomes 140
- Problems 142
- Chapter 20 Relative-Value Methodologies for Global Credit Bond Portfolio Management 144
- Learning Outcomes 144
- Problems 146
- Chapter 21 International Bond Portfolio Management 151
- Learning Outcomes 151
- Problems 155
- Chapter 22 Controlling Interest Rate Risk with Derivatives 159
- Learning Outcomes 159
- Problems 162
- Chapter 23 Hedging Mortgage Securities to Capture Relative Value 167
- Learning Outcomes 167
- Problems 169
- Chapter 24 Credit Derivatives in Bond Portfolio Management 172
- Learning Outcomes 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
- Solutions 201
- Chapter 6 Yield Measures, Spot Rates, and Forward Rates 207
- Solutions 207
- 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 Bond Market 251
- Solutions 251
- Chapter 12 Valuing Mortgage-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
- 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-Value Methodologies 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 Hedging Mortgage Securities to Capture Relative Value 331
- Solutions 331
- Chapter 24 Credit Derivatives in Bond Portfolio Management 335
- Solutions 335
- About the CFA Program 343.
- Notes:
- Originally published as: Fixed income analysis for the chartered financial analyst program. New Hope, Pa. : F.J. Fabozzi Associates, c2000.
- Includes bibliographical references and index.
- Contains:
- Fabozzi, Frank J. Fixed income analysis for the chartered financial analyst program. 2006.
- ISBN:
- 9780470052211
- 047005221X
- 0470069198
- 9780470069196
- OCLC:
- 76143978
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