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Fixed Income Analysis, Second Edition Workbook 9780470069196

作者: Frank J. Fabozzi 著

出版社: Wiley

出版时间: 2007-01

版次: 1

ISBN: 9780470069196

定价: 388.00

装帧: 平装

开本: 16开

纸张: 胶版纸

页数: 343页

分类: 外文古旧书>英文书>管理

3人买过

In the Second Edition of Fixed Income Analysis, financial expertFrank Fabozzi and a team of knowledgeable contributors providecomplete coverage of the most important issues in fixed incomeanalysis.
  Now, in Fixed Income Analysis Workbook, Second Edition, Fabozzioffers you a wealth of practical information and exercises thatwill solidify your understanding of the tools and techniquesassociated with this discipline. This comprehensive studyguide––which parallels the main book chapter by chapter––containschallenging problems and a complete set of solutions as well asconcise learning outcome statements and summary overviews.
  If you want to make the most of your time in the fixed incomemarketplace, the lessons within this workbook can show you how.Topics reviewed include:
  The risks associated with investing in fixed incomesecurities
  The fundamentals of valuation and interest rate risk
  The features of structured products––such as mortgage–backedsecurities and asset–backed securities
  The principles of credit analysis
  The valuation of fixed income securities with embedded options FRANK J. FABOZZI, PHD, CFA, CFP, is an Adjunct Professor ofFinance and Becton Fellow at Yale University′s School ofManagement. He is also Editor of the Journal of PortfolioManagement and a consultant. PART I Learning Outcomes, Summary Overview, and Problems CHAPTER1 Features of Debt Securities 3 Learning Outcomes 3 SummaryOverview 3 Problems 5 CHAPTER 2 Risks Associated with Investing inBonds 8 Learning Outcomes 8 Summary Overview 9 Problems 11 CHAPTER3 Overview of Bond Sectors and Instruments 15 Learning Outcomes 15Summary Overview 16 Problems 19 CHAPTER 4 Understanding YieldSpreads 22 Learning Outcomes 22 Summary Overview 23 Problems 25CHAPTER 5 Introduction to the Valuation of Debt Securities 29Learning Outcomes 29 Summary Overview 29 Problems 31 CHAPTER 6Yield Measures, Spot Rates, and Forward Rates 33 Learning Outcomes33 Summary Overview 34 Problems 35 CHAPTER 7 Introduction to theMeasurement of Interest Rate Risk 41 Learning Outcomes 41 SummaryOverview 42 Problems 44 CHAPTER 8 Term Structure and Volatility ofInterest Rates 49 Learning Outcomes 49 Summary Overview 49 Problems52 CHAPTER 9 Valuing Bonds with Embedded Options 55 LearningOutcomes 55 Summary Overview 55 Problems 58 CHAPTER 10Mortgage-Backed Sector of the BondMarket 63 Learning Outcomes 63Summary Overview 63 Problems 65 CHAPTER 11 Asset-Backed Sector ofthe BondMarket 73 Learning Outcomes 73 Summary Overview 73 Problems78 CHAPTER 12 ValuingMortgage-Backed and Asset-Backed Securities 83Learning Outcomes 83 Summary Overview 83 Problems 86 CHAPTER 13Interest Rate Derivative Instruments 92 Learning Outcomes 92Summary Overview 92 Problems 94 CHAPTER 14 Valuation of InterestRate Derivative Instruments 98 Learning Outcomes 98 SummaryOverview 99 Problems 100 CHAPTER 15 General Principles of CreditAnalysis 106 Learning Outcomes 106 Summary Overview 107 Problems109 CHAPTER 16 Introduction to Bond Portfolio Management 114Learning Outcomes 114 Summary Overview 114 Problems 116 CHAPTER 17Measuring a Portfolio's Risk Profile 119 Learning Outcomes 119Summary Overview 120 Problems 122 CHAPTER 18 Managing Funds Againsta Bond Market Index 129 Learning Outcomes 129 Summary Overview 130Problems 132 CHAPTER 19 Portfolio Immunization and Cash FlowMatching 140 Learning Outcomes 140 Summary Overview 140 Problems142 CHAPTER 20 Relative-ValueMethodologies for Global Credit BondPortfolio Management 144 Learning Outcomes 144 Summary Overview 144Problems 146 CHAPTER 21 International Bond Portfolio Management 151Learning Outcomes 151 Summary Overview 152 Problems 155 CHAPTER 22Controlling Interest Rate Risk with Derivatives 159 LearningOutcomes 159 Summary Overview 160 Problems 162 CHAPTER 23HedgingMortgage Securities to Capture Relative Value 167 LearningOutcomes 167 Summary Overview 167 Problems 169 CHAPTER 24 CreditDerivatives in Bond Portfolio Management 172 Learning Outcomes 172Summary Overview 172 Problems 174 PART II Solutions CHAPTER 1Features of Debt Securities 183 Solutions 183 CHAPTER 2 RisksAssociated with Investing in Bonds 186 Solutions 186 CHAPTER 3Overview of Bond Sectors and Instruments 191 Solutions 191 CHAPTER4 Understanding Yield Spreads 197 Solutions 197 CHAPTER 5Introduction to the Valuation of Debt Securities 201 Solutions 201CHAPTER 6 Yield Measures, Spot Rates, and Forward Rates 207Solutions 207 CHAPTER 7 Introduction to the Measurement of InterestRate Risk 219 Solutions 219 CHAPTER 8 Term Structure and Volatilityof Interest Rates 225 Solutions 225 CHAPTER 9 Valuing Bonds withEmbedded Options 231 Solutions 231 CHAPTER 10 Mortgage-BackedSector of the Bond Market 238 Solutions 238 CHAPTER 11 Asset-BackedSector of the BondMarket 251 Solutions 251 CHAPTER 12ValuingMortgage-Backed and Asset-Backed Securities 258 Solutions258 CHAPTER 13 Interest Rate Derivative Instruments 264 Solutions264 CHAPTER 14 Valuation of Interest Rate Derivative Instruments270 Solutions 270 CHAPTER 15 General Principles of Credit Analysis281 Solutions 281 CHAPTER 16 Introduction to Bond PortfolioManagement 287 Solutions 287 CHAPTER 17 Measuring a Portfolio'sRisk Profile 290 Solutions 290 CHAPTER 18 Managing Funds Against aBond Market Index 298 Solutions 298 CHAPTER 19 PortfolioImmunization and Cash Flow Matching 307 Solutions 307 CHAPTER 20Relative-ValueMethodologies for Global Credit Bond PortfolioManagement 311 Solutions 311 CHAPTER 21 International BondPortfolio Management 316 Solutions 316 CHAPTER 22 ControllingInterest Rate Risk with Derivatives 324 Solutions 324 CHAPTER 23HedgingMortgage Securities to Capture Relative Value 331 Solutions331 CHAPTER 24 Credit Derivatives in Bond Portfolio Management 335Solutions 335 About the CFA Program 343
内容简介:
In the Second Edition of Fixed Income Analysis, financial expertFrank Fabozzi and a team of knowledgeable contributors providecomplete coverage of the most important issues in fixed incomeanalysis.
  Now, in Fixed Income Analysis Workbook, Second Edition, Fabozzioffers you a wealth of practical information and exercises thatwill solidify your understanding of the tools and techniquesassociated with this discipline. This comprehensive studyguide––which parallels the main book chapter by chapter––containschallenging problems and a complete set of solutions as well asconcise learning outcome statements and summary overviews.
  If you want to make the most of your time in the fixed incomemarketplace, the lessons within this workbook can show you how.Topics reviewed include:
  The risks associated with investing in fixed incomesecurities
  The fundamentals of valuation and interest rate risk
  The features of structured products––such as mortgage–backedsecurities and asset–backed securities
  The principles of credit analysis
  The valuation of fixed income securities with embedded options
作者简介:
FRANK J. FABOZZI, PHD, CFA, CFP, is an Adjunct Professor ofFinance and Becton Fellow at Yale University′s School ofManagement. He is also Editor of the Journal of PortfolioManagement and a consultant.
目录:
PART I Learning Outcomes, Summary Overview, and Problems CHAPTER1 Features of Debt Securities 3 Learning Outcomes 3 SummaryOverview 3 Problems 5 CHAPTER 2 Risks Associated with Investing inBonds 8 Learning Outcomes 8 Summary Overview 9 Problems 11 CHAPTER3 Overview of Bond Sectors and Instruments 15 Learning Outcomes 15Summary Overview 16 Problems 19 CHAPTER 4 Understanding YieldSpreads 22 Learning Outcomes 22 Summary Overview 23 Problems 25CHAPTER 5 Introduction to the Valuation of Debt Securities 29Learning Outcomes 29 Summary Overview 29 Problems 31 CHAPTER 6Yield Measures, Spot Rates, and Forward Rates 33 Learning Outcomes33 Summary Overview 34 Problems 35 CHAPTER 7 Introduction to theMeasurement of Interest Rate Risk 41 Learning Outcomes 41 SummaryOverview 42 Problems 44 CHAPTER 8 Term Structure and Volatility ofInterest Rates 49 Learning Outcomes 49 Summary Overview 49 Problems52 CHAPTER 9 Valuing Bonds with Embedded Options 55 LearningOutcomes 55 Summary Overview 55 Problems 58 CHAPTER 10Mortgage-Backed Sector of the BondMarket 63 Learning Outcomes 63Summary Overview 63 Problems 65 CHAPTER 11 Asset-Backed Sector ofthe BondMarket 73 Learning Outcomes 73 Summary Overview 73 Problems78 CHAPTER 12 ValuingMortgage-Backed and Asset-Backed Securities 83Learning Outcomes 83 Summary Overview 83 Problems 86 CHAPTER 13Interest Rate Derivative Instruments 92 Learning Outcomes 92Summary Overview 92 Problems 94 CHAPTER 14 Valuation of InterestRate Derivative Instruments 98 Learning Outcomes 98 SummaryOverview 99 Problems 100 CHAPTER 15 General Principles of CreditAnalysis 106 Learning Outcomes 106 Summary Overview 107 Problems109 CHAPTER 16 Introduction to Bond Portfolio Management 114Learning Outcomes 114 Summary Overview 114 Problems 116 CHAPTER 17Measuring a Portfolio's Risk Profile 119 Learning Outcomes 119Summary Overview 120 Problems 122 CHAPTER 18 Managing Funds Againsta Bond Market Index 129 Learning Outcomes 129 Summary Overview 130Problems 132 CHAPTER 19 Portfolio Immunization and Cash FlowMatching 140 Learning Outcomes 140 Summary Overview 140 Problems142 CHAPTER 20 Relative-ValueMethodologies for Global Credit BondPortfolio Management 144 Learning Outcomes 144 Summary Overview 144Problems 146 CHAPTER 21 International Bond Portfolio Management 151Learning Outcomes 151 Summary Overview 152 Problems 155 CHAPTER 22Controlling Interest Rate Risk with Derivatives 159 LearningOutcomes 159 Summary Overview 160 Problems 162 CHAPTER 23HedgingMortgage Securities to Capture Relative Value 167 LearningOutcomes 167 Summary Overview 167 Problems 169 CHAPTER 24 CreditDerivatives in Bond Portfolio Management 172 Learning Outcomes 172Summary Overview 172 Problems 174 PART II Solutions CHAPTER 1Features of Debt Securities 183 Solutions 183 CHAPTER 2 RisksAssociated with Investing in Bonds 186 Solutions 186 CHAPTER 3Overview of Bond Sectors and Instruments 191 Solutions 191 CHAPTER4 Understanding Yield Spreads 197 Solutions 197 CHAPTER 5Introduction to the Valuation of Debt Securities 201 Solutions 201CHAPTER 6 Yield Measures, Spot Rates, and Forward Rates 207Solutions 207 CHAPTER 7 Introduction to the Measurement of InterestRate Risk 219 Solutions 219 CHAPTER 8 Term Structure and Volatilityof Interest Rates 225 Solutions 225 CHAPTER 9 Valuing Bonds withEmbedded Options 231 Solutions 231 CHAPTER 10 Mortgage-BackedSector of the Bond Market 238 Solutions 238 CHAPTER 11 Asset-BackedSector of the BondMarket 251 Solutions 251 CHAPTER 12ValuingMortgage-Backed and Asset-Backed Securities 258 Solutions258 CHAPTER 13 Interest Rate Derivative Instruments 264 Solutions264 CHAPTER 14 Valuation of Interest Rate Derivative Instruments270 Solutions 270 CHAPTER 15 General Principles of Credit Analysis281 Solutions 281 CHAPTER 16 Introduction to Bond PortfolioManagement 287 Solutions 287 CHAPTER 17 Measuring a Portfolio'sRisk Profile 290 Solutions 290 CHAPTER 18 Managing Funds Against aBond Market Index 298 Solutions 298 CHAPTER 19 PortfolioImmunization and Cash Flow Matching 307 Solutions 307 CHAPTER 20Relative-ValueMethodologies for Global Credit Bond PortfolioManagement 311 Solutions 311 CHAPTER 21 International BondPortfolio Management 316 Solutions 316 CHAPTER 22 ControllingInterest Rate Risk with Derivatives 324 Solutions 324 CHAPTER 23HedgingMortgage Securities to Capture Relative Value 331 Solutions331 CHAPTER 24 Credit Derivatives in Bond Portfolio Management 335Solutions 335 About the CFA Program 343

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Fixed Income Analysis, Second Edition Workbook 9780470069196

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