Cover image for The handbook of fixed income securities
Title:
The handbook of fixed income securities
Author:
Fabozzi, Frank J.
Edition:
Sixth edition.
Publication Information:
New York : McGraw Hill, [2001]

©2001
Physical Description:
xxix, 1373 pages : illustrations ; 24 cm
Language:
English
Added Author:
ISBN:
9780071358057

9780071376822
Format :
Book

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HG4651 .H265 2001 Adult Non-Fiction Central Closed Stacks-Non circulating
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Summary

Summary

A reference guide for information on fixed income securities. This edition has new chapters on derivatives, structured finance and international markets and more emphasis on applied material for the time-pressed practitioner.


Table of Contents

Frank J. Fabozzi and Michael G. Ferri and Steven V. MannRavi E. Dattatreya and Frank J. FabozziFrank J. FabozziFrank J. FabozziFrank J. Fabozzi and Gerald W. Buetow, Jr. and Robert R. JohnsonFrank J. FabozziFrank K. Reilly and David J. WrightFrank J. Fabozzi and Michael J. FlemingSylvan G. Feldstein and Frank J. Fabozzi and Patrick M. KennedyFrank J. Fabozzi and Steven V. MannFrank J. Fabozzi and Richard S. Wilson and Richard ToddLeland E. CrabbeJohn B. BrynjolfssonSteven V. Mann and Frank J. FabozziRichard S. WilsonChristopher B. StewardJane Sachar Brauer and Douglas ChenKenneth L. WalkerJane Tripp HoweJane Tripp HoweJane Tripp HoweSylvan G. FeldsteinAllen A. VineFrank J. Fabozzi and Chuck RamseyLakhbir S. Hayre and Cyrus Mohebbi and Thomas A. ZimmermanFrank J. Fabozzi and Anthony B. Sanders and David Yuen and Chuck RamseyAnthony B. SandersW. Alexander Roever and John N. McElravey and Glenn M. SchultzR. Russell HurstJames S. Anderson and Kristina L. ClarkJohn N. McElraveyDouglas JohnstonFrank J. Fabozzi and Andrew J. Kalotay and George O. WilliamsFrank J. Fabozzi and Scott F. Richard and David S. HorowitzRonald N. KahnDavid Audley and Richard Chin and Shrikant RamamurthyAnthony V. ThompsonH. Gifford FongChris P. DialynasKenneth E. VolpertJack MalveyJ. Thomas Madden and Joseph BalestrinoFrank J. Fabozzi and Peter F. ChristensenFrank J. Fabozzi and Peter F. ChristensenLang GibsonKevin Edward GrantChristopher B. Steward and Adam M. GreshinMichael R. RosenbergChris P. Dialynas and Sandra Durn and John C. Ritchie, Jr.Mihir BhattacharyaMark Pitts and Frank J. FabozziFrank J. Fabozzi and Mark PittsDavid T. KimWilliam J. Gartland and Nicholas C. LeticaFrank J. Fabozzi and Shrikant Ramamurthy and Mark PittsAnand K. Bhattacharya and Frank J. FabozziAnand K. Bhattacharya
Prefacep. xxiii
Acknowledgmentsp. xxv
Contributorsp. xxvii
Part 1 Background
Chapter 1 Overview of the Types and Features of Fixed Income Securitiesp. 3
Chapter 2 Risks Associated with Investing in Fixed Income Securitiesp. 21
Chapter 3 A Review of the Time Value of Moneyp. 31
Chapter 4 Bond Pricing and Return Measuresp. 51
Chapter 5 Measuring Interest Rate Riskp. 85
Chapter 6 The Structure of Interest Ratesp. 131
Chapter 7 Bond Market Indexesp. 155
Part 2 Government and Private Debt Obligations
Chapter 8 U.S. Treasury and Agency Securitiesp. 175
Chapter 9 Municipal Bondsp. 197
Chapter 10 Private Money Market Instrumentsp. 231
Chapter 11 Corporate Bondsp. 253
Chapter 12 Medium-Term Notesp. 283
Chapter 13 Inflation-Indexed Bonds (TIPS)p. 301
Chapter 14 Floating-Rate Securitiesp. 325
Chapter 15 Nonconvertible Preferred Stockp. 337
Chapter 16 International Bond Markets and Instrumentsp. 361
Chapter 17 Brady Bondsp. 379
Chapter 18 Stable Value Investmentsp. 399
Part 3 Credit Analysis
Chapter 19 Credit Analysis for Corporate Bondsp. 417
Chapter 20 Credit Considerations in Evaluating High-Yield Bondsp. 459
Chapter 21 Investing in Chapter 11 and Other Distressed Companiesp. 469
Chapter 22 Guidelines in the Credit Analysis of General Obligation and Revenue Municipal Bondsp. 491
Chapter 23 High-Yield Analysis of Emerging Markets Debtp. 519
Part 4 Mortgage-Backed and Asset-Backed Securities
Chapter 24 Mortgages and Overview of Mortgage-Backed Securitiesp. 549
Chapter 25 Mortgage Pass-Throughsp. 573
Chapter 26 Collateralized Mortgage Obligationsp. 619
Chapter 27 Nonagency CMOSp. 649
Chapter 28 Commercial Mortgage-Backed Securitiesp. 663
Chapter 29 Securities Backed by Automobile Loansp. 679
Chapter 30 Securities Backed by Closed-End Home Equity Loansp. 703
Chapter 31 Securities Backed by Manufactured Housing Loansp. 721
Chapter 32 Securities Backed by Credit Card Receivablesp. 739
Part 5 Fixed Income Analytics and Modeling
Chapter 33 Characteristics of and Strategies with Callable Securitiesp. 759
Chapter 34 Valuation of Bonds with Embedded Optionsp. 773
Chapter 35 Valuation of CMOsp. 795
Chapter 36 Fixed Income Risk Modelingp. 819
Chapter 37 OAS and Effective Durationp. 831
Chapter 38 Evaluating Amortizing ABS: A Primer on Static Spreadp. 847
Part 6 Portfolio Management
Chapter 39 Bond Management: Past, Current, and Futurep. 855
Chapter 40 The Active Decisions in the Selection of Passive Management and Performance Bogeysp. 863
Chapter 41 Managing Indexed and Enhanced Indexed Bond Portfoliosp. 887
Chapter 42 Global Corporate Bond Portfolio Managementp. 913
Chapter 43 Management of a High-Yield Bond Portfoliop. 945
Chapter 44 Bond Immunization: An Asset/Liability Optimization Strategyp. 957
Chapter 45 Dedicated Bond Portfoliosp. 969
Chapter 46 Managing Market Risk Proactively at Long-Term Investment Fundsp. 985
Chapter 47 Improving Insurance Company Portfolio Returnsp. 1011
Chapter 48 International Bond Investing and Portfolio Managementp. 1027
Chapter 49 International Fixed Income Investing: Theory and Practicep. 1061
Part 7 Equity-Linked Securities and Their Valuation
Chapter 50 Convertible Securities and Their Investment Characteristicsp. 1103
Chapter 51 Convertible Securities and Their Valuationp. 1127
Part 8 Derivative Instruments and Their Portfolio Management Applications
Chapter 52 Introduction to Interest-Rate Futures and Options Contractsp. 1175
Chapter 53 Pricing Futures and Portfolio Applicationsp. 1197
Chapter 54 Treasury Bond Futures Mechanics and Basis Valuationp. 1209
Chapter 55 The Basics of Interest-Rate Optionsp. 1233
Chapter 56 Controlling Interest Rate Risk with Futures and Optionsp. 1259
Chapter 57 Interest-Rate Swapsp. 1297
Chapter 58 Interest-Rate Caps and Floors and Compound Optionsp. 1317
Indexp. 1337