Fixed income analysis workbook 3rd ed.

Author

Additional Author(s)

• Noronha, Gregory M.
• Grieves, Robin
• Pirie, Wendy L.
• Pinto, Jerald E.
• Petitt, Barbara S.

Publisher

New Jersey: John Wiley & Sons, Inc, 2015

Language

English

ISBN

9781118999509

Series

CFA institute investment series

Subject(s)

• FIXED-INCOME SECURITIES

Notes

. .

Abstract

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.

Physical Dimension

Number of Page(s)

x, 171 p.

Dimension

25 cm.

Other Desc.

-

Summary / Review / Table of Content

FIXED INCOME ANALYSIS --
Contents --
Foreword --
Preface --
Acknowledgments --
About the CFA Investment Series --
PART I Fixed-Income Essentials --
CHAPTER 1 Fixed-Income Securities: Defining Elements --
Learning Outcomes --
1. Introduction --
2. Overview of a Fixed-Income Security --
2.1. Basic Features of a Bond --
2.2. Yield Measures --
3. Legal, Regulatory, and Tax Considerations --
3.1. Bond Indenture --
3.2. Legal and Regulatory Considerations --
3.3. Tax Considerations --
4. Structure of a Bond's Cash Flows --
4.1. Principal Repayment Structures --
4.2. Coupon Payment Structures --
5. Bonds with Contingency Provisions --
5.1. Callable Bonds --
5.2. Putable Bonds --
5.3. Convertible Bonds --
6. Summary --
Problems --
CHAPTER 2 Fixed-Income Markets: Issuance, Trading, and Funding --
Learning Outcomes --
1. Introduction --
2. Overview of Global Fixed-Income Markets --
2.1. Classification of Fixed-Income Markets --
2.2. Fixed-Income Indices --
2.3. Investors in Fixed-Income Securities --
3. Primary and Secondary Bond Markets --
3.1. Primary Bond Markets --
3.2. Secondary Bond Markets --
4. Sovereign Bonds --
4.1. Characteristics of Sovereign Bonds --
4.2. Credit Quality of Sovereign Bonds --
4.3. Types of Sovereign Bonds --
5. Non-Sovereign Government, Quasi-Government, and Supranational Bonds --
5.1. Non-Sovereign Bonds --
5.2. Quasi-Government Bonds --
5.3. Supranational Bonds --
6. Corporate Debt --
6.1. Bank Loans and Syndicated Loans --
6.2. Commercial Paper --
6.3. Corporate Notes and Bonds --
7. Short-Term Funding Alternatives Available to Banks --
7.1. Retail Deposits --
7.2. Short-Term Wholesale Funds --
7.3. Repurchase and Reverse Repurchase Agreements --
8. Summary --
Problems --
CHAPTER 3 Introduction to Fixed-Income Valuation --
Learning Outcomes --
1. Introduction --
2. Bond Prices and the Time Value of Money. 2.1. Bond Pricing with a Market Discount Rate --
2.2. Yield-to-Maturity --
2.3. Relationships between the Bond Price and Bond Characteristics --
2.4. Pricing Bonds with Spot Rates --
3. Prices and Yields: Conventions for Quotes and Calculations --
3.1. Flat Price, Accrued Interest, and the Full Price --
3.2. Matrix Pricing --
3.3. Yield Measures for Fixed-Rate Bonds --
3.4. Yield Measures for Floating-Rate Notes --
3.5. Yield Measures for Money Market Instruments --
4. The Maturity Structure of Interest Rates --
5. Yield Spreads --
5.1. Yield Spreads over Benchmark Rates --
5.2. Yield Spreads over the Benchmark Yield Curve --
6. Summary --
Problems --
PART II Analysis of Risk --
CHAPTER 4 Understanding Fixed-Income Risk and Return --
Learning Outcomes --
1. Introduction --
2. Sources of Return --
3. Interest Rate Risk on Fixed-Rate Bonds --
3.1. Macaulay, Modified, and Approximate Duration --
3.2. Effective Duration --
3.3. Key Rate Duration --
3.4. Properties of Bond Duration --
3.5. Duration of a Bond Portfolio --
3.6. Money Duration of a Bond and the Price Value of a Basis Point --
3.7. Bond Convexity --
4. Interest Rate Risk and the Investment Horizon --
4.1. Yield Volatility --
4.2. Investment Horizon, Macaulay Duration, and Interest Rate Risk --
5. Credit and Liquidity Risk --
6. Summary --
Problems --
CHAPTER 5 Fundamentals of Credit Analysis --
Learning Outcomes --
1. Introduction --
2. Credit Risk --
3. Capital Structure, Seniority Ranking, and Recovery Rates --
3.1. Capital Structure --
3.2. Seniority Ranking --
3.3. Recovery Rates --
4. Ratings Agencies, Credit Ratings, and Their Role in the Debt Markets --
4.1. Credit Ratings --
4.2. Issuer vs. Issue Ratings --
4.3. Risks in Relying on Agency Ratings --
5. Traditional Credit Analysis: Corporate Debt Securities --
5.1. Credit Analysis vs. Equity Analysis: Similarities and Differences. 5.2. The Four Cs of Credit Analysis: A Useful Framework --
6. Credit Risk vs. Return: Yields and Spreads --
7. Special Considerations of High-Yield, Sovereign, and Non-Sovereign Credit Analysis --
7.1. High Yield --
7.2. Sovereign Debt --
7.3. Non-Sovereign Government Debt --
8. Summary --
Problems --
CHAPTER 6 Credit Analysis Models --
Learning Outcomes --
1. Introduction --
2. Measures of Credit Risk --
3. Traditional Credit Models --
4. Structural Models --
4.1. The Option Analogy --
4.2. Valuation --
4.3. Credit Risk Measures --
4.4. Estimation --
5. Reduced Form Models --
5.1. Valuation --
5.2. Credit Risk Measures --
5.3. Estimation --
5.4. Comparison of Credit Risk Models --
6. The Term Structure of Credit Spreads --
6.1. Coupon Bond Valuation --
6.2. The Term Structure of Credit Spreads --
6.3. Present Value of the Expected Loss --
7. Asset-Backed Securities --
8. Summary --
References --
Problems --
PART III Asset-Backed Securities --
CHAPTER 7 Introduction to Asset-Backed Securities --
Learning Outcomes --
1. Introduction --
2. Benefits of Securitization for Economies and Financial Markets --
3. The Securitization Process --
3.1. An Example of a Securitization Transaction --
3.2. Parties and Their Role to a Securitization Transaction --
3.3. Bonds Issued --
3.4. Key Role of the Special Purpose Vehicle --
4. Residential Mortgage Loans --
4.1. Maturity --
4.2. Interest Rate Determination --
4.3. Amortization Schedule --
4.4. Prepayments and Prepayment Penalties --
4.5. Rights of the Lender in a Foreclosure --
5. Residential Mortgage-Backed Securities --
5.1. Mortgage Pass-Through Securities --
5.2. Collateralized Mortgage Obligations --
5.3. Non-agency Residential Mortgage-Backed Securities --
6. Commercial Mortgage-Backed Securities --
6.1. Credit Risk --
6.2. Basic CMBS Structure --
7. Non-Mortgage Asset-Backed Securities. 7.1. Auto Loan Receivable-Backed Securities --
7.2. Credit Card Receivable-Backed Securities --
8. Collateralized Debt Obligations --
8.1. Structure of a CDO Transaction --
8.2. Illustration of a CDO Transaction --
9. Summary --
References --
Problems --
PART IV Valuation --
CHAPTER 8 The Arbitrage-Free Valuation Framework --
Learning Outcomes --
1. Introduction --
2. The Meaning of Arbitrage-Free Valuation --
2.1. The Law of One Price --
2.2. Arbitrage Opportunity --
2.3. Implications of Arbitrage-Free Valuation for Fixed-Income Securities --
3. Interest Rate Trees and Arbitrage-Free Valuation --
3.1. The Binomial Interest Rate Tree --
3.2. What Is Volatility and How Is It Estimated? --
3.3. Determining the Value of a Bond at a Node --
3.4. Constructing the Binomial Interest Rate Tree --
3.5. Valuing an Option-Free Bond with the Tree --
3.6. Pathwise Valuation --
4. Monte Carlo Method --
5. Summary --
Problems --
CHAPTER 9 Valuation and Analysis: Bonds with Embedded Options --
Learning Outcomes --
1. Introduction --
2. Overview of Embedded Options --
2.1. Simple Embedded Options --
2.2. Complex Embedded Options --
3. Valuation and Analysis of Callable and Putable Bonds --
3.1. Relationships between the Values of a Callable or Putable Bond, Straight Bond, and Embedded Option --
3.2. Valuation of Default-Free and Option-Free Bonds: A Refresher --
3.3. Valuation of Default-Free Callable and Putable Bonds in the Absence of Interest Rate Volatility --
3.4. Effect of Interest Rate Volatility on the Value of Callable and Putable Bonds --
3.5. Valuation of Default-Free Callable and Putable Bonds in the Presence of Interest Rate Volatility --
3.6. Valuation of Risky Callable and Putable Bonds --
4. Interest Rate Risk of Bonds with Embedded Options --
4.1. Duration --
4.2. Effective Convexity. 5. Valuation and Analysis of Capped and Floored Floating-Rate Bonds --
5.1. Valuation of a Capped Floater --
5.2. Valuation of a Floored Floater --
6. Valuation and Analysis of Convertible Bonds --
6.1. Defining Features of a Convertible Bond --
6.2. Analysis of a Convertible Bond --
6.3. Valuation of a Convertible Bond --
6.4. Comparison of the Risk-Return Characteristics of a Convertible Bond, the Straight Bond, and the Underlying Common Stock --
7. Bond Analytics --
8. Summary --
Problems --
PART V Term Structure Analysis --
CHAPTER 10 The Term Structure and Interest Rate Dynamics --
Learning Outcomes --
1. Introduction --
2. Spot Rates and Forward Rates --
2.1. The Forward Rate Model --
2.2. Yield to Maturity in Relation to Spot Rates and Expected and Realized Returns on Bonds --
2.3. Yield Curve Movement and the Forward Curve --
2.4. Active Bond Portfolio Management --
3. The Swap Rate Curve --
3.1. The Swap Rate Curve --
3.2. Why Do Market Participants Use Swap Rates When Valuing Bonds? --
3.3. How Do Market Participants Use the Swap Curve in Valuation? --
3.4. The Swap Spread --
3.5. Spreads as a Price Quotation Convention --
4. Traditional Theories of the Term Structure of Interest Rates --
4.1. Local Expectations Theory --
4.2. Liquidity Preference Theory --
4.3. Segmented Markets Theory --
4.4. Preferred Habitat Theory --
5. Modern Term Structure Models --
5.1. Equilibrium Term Structure Models --
5.2. Arbitrage-Free Models: The Ho-Lee Model --
6. Yield Curve Factor Models --
6.1. A Bond's Exposure to Yield Curve Movement --
6.2. Factors Affecting the Shape of the Yield Curve --
6.3. The Maturity Structure of Yield Curve Volatilities --
6.4. Managing Yield Curve Risks --
7. Summary --
References --
Problems --
PART VI Fixed-Income Portfolio Management --
CHAPTER 11 Fixed-Income Portfolio Management-Part I --
Learning Outcomes.

Exemplar(s)

#	Accession No.	Call Number	Location	Status
1.	00847/18	332.6323 Fix/w	Library - 7th Floor	Available