5.
by Steven V. Mann, Frank J. Fabozzi
The Handbook of Fixed Income Securities, Eighth Edition, 8th Edition
- Cover Page
- The Handbook of Fixed Income Securities
- Copyright Page
- Contents
- Preface
- Acknowledgments
- Contributors
- Part One Background
- Chapter 1 Overview of the Types and Features of Fixed Income Securities
- Chapter 2 Risks Associated with Investing in Fixed Income Securities
- Ravi F. Dattatreya, Frank J. Fabozzi, and Sergio M. Focardi
- Interest-Rate Risk
- Reinvestment Risk
- Call/Prepayment Risk
- Credit Risk
- Inflation, or Purchasing-Power, Risk
- Liquidity Risk
- Exchange-Rate, or Currency, Risk
- Volatility Risk
- Political or Legal Risk
- Event Risk
- Sector Risk
- Other Risks
- Statistical Measures of Portfolio Risk: Standard Deviation, Skewness, and Kurtosis
- Tracking Error Risk
- Key Points
- Chapter 3 Bond Market Indexes
- Chapter 4 Electronic Trading for Fixed Income Markets
- Marshall Nicholson
- Overall Bond Market Growth
- The Rise of Electronic Trading
- The Impact of Regulatory Requirements
- Shift to a Fee-Based Broker-Dealer Revenue Model
- Universe of Electronic Trading Platforms
- Current Technologies
- Market Data and the Aggregation of Fixed Income ECNs
- Retail-Fixed Income Market Participation
- Retail Access to Individual Bonds
- Fixed Income Pricing
- Key Points
- Chapter 5 Macro-Economic Dynamics and the Corporate Bond Market
- Chapter 6 Bond Pricing, Yield Measures, and Total Return
- Chapter 7 Measuring Interest-Rate Risk
- Chapter 8 The Structure of Interest Rates
- Part Two Government Securities and Corporate Debt Obligations
- Chapter 9 U.S. Treasury Securities
- Chapter 10 Agency Debt Securities
- Chapter 11 Municipal Bonds
- Sylvan G. Feldstein, Frank J. Fabozzi, Alexander Grant, and David Ratner
- Features of Municipal Securities
- Types of Municipal Obligations
- The Commercial Credit Rating of Municipal Bonds
- Municipal Bond Insurance
- Valuation Methods
- Tax Provisions Affecting Municipals
- Yield Relationships within the Municipal Bond Market
- Primary and Secondary Markets
- Bond Indexes
- Official Statement
- Regulation of the Municipal Securities Market
- Key Points
- Chapter 12 Corporate Bonds
- Chapter 13 Leveraged Loans
- Chapter 14 Convertible Securities and Their Investment Application
- Chapter 15 Structured Notes and Credit-Linked Notes
- Chapter 16 Private Money Market Instruments
- Chapter 17 Floating-Rate Securities
- Chapter 18 Inflation-Linked Bonds
- Chapter 19 International Bond Markets and Instruments
- Chapter 20 Emerging Markets Debt
- Chapter 21 Fixed Income Exchange Traded Funds
- Chapter 22 Covered Bonds
- Vinod Kothari
- Covered Bonds: From Europe to the Rest of the World
- Understanding Covered Bonds
- Structure of Covered Bonds
- Cover Assets and Credit Enhancements
- Asset/Liability Mismatches and Liquidity Risk
- Ratings of Covered Bonds
- Covered Bonds and Securitization
- Accounting for Covered Bonds
- Key Points
- Chapter 23 Nonconvertible Preferred Stock
- Part Three Securitized Products
- Chapter 24 An Overview of Mortgages and the Mortgage Market
- Chapter 25 Agency Mortgage-Backed Securities
- Chapter 26 Agency Collateralized Mortgage Obligations
- Chapter 27 The Effect of Agency CMO PAC Bond Features on Performance
- Linda Lowell
- The Term Structure of CMO Yields
- Collars and Collateral
- Interaction of Collars and Collateral
- PAC Collar Drift
- When the PAC Breaks
- Windows
- Lockout
- Is There a Z in the Deal?
- Effect of Jump-Z and VADM Structures on PAC Bonds
- Priority to Receive Excess Cash Flows
- The Option Costs of PAC Features
- Key Points
- Chapter 28 Agency CMO Z-Bonds
- Chapter 29 Support Bonds with Schedules in Agency CMO Deals
- Chapter 30 Stripped Mortgage-Backed Securities
- Chapter 31 Nonagency Residential Mortgage-Backed Securities
- Chapter 32 Commercial Mortgage-Backed Securities
- Chapter 33 Credit Card Asset-Backed Securities
- Chapter 34 Securities Backed by Auto Loans and Leases, Equipment Loans and Leases, and Student Loans
- Chapter 35 Collateralized Loan Obligations
- Part Four Term Structure of Interest Rates
- Part Five Valuation Modeling
- Part Six Credit Risk
- Part Seven Multifactor Risk Models
- Part Eight Bond Portfolio Management
- Chapter 49 Introduction to Bond Portfolio Management
- Chapter 50 Quantitative Management of Benchmarked Portfolios
- Lev Dynkin, Jay Hyman, Vadim Konstantinovsky, and Bruce D. Phelps
- Selection and Customization of Benchmarks
- Diversification Issues in Benchmarks
- Portfolio Analysis Relative to a Benchmark
- Quantitative Approaches to Benchmark Replication
- Replication with Cash Instruments: Stratified Sampling
- Controlling Issuer-Specific Risk in the Portfolio
- Quantitative Methods for Portfolio Optimization
- Tools for Quantitative Portfolio Management
- Key Points
- Chapter 51 Global Credit Bond Portfolio Management
- Chapter 52 Elements of Managing a High-Yield Bond Portfolio
- Chapter 53 International Bond Portfolio Management
- Chapter 54 Fixed Income Transition Management
- Chapter 55 Managing the Spread Risk of Credit Portfolios Using the Duration Times Spread Measure
- Arik Ben Dor, Lev Dynkin, and Jay Hyman
- The Need for a New Measure of Credit Spread Exposure
- Spread Volatility and DTS
- Risk Projection: Predicting Spread Volatility
- Hedging: Predicting Sensitivities to Market Spread Changes
- Replication: Creating Index Tracking Portfolios
- Expressing Macro Views in Active Portfolios
- Portfolio Construction: Optimal Diversification of Issuer Risk
- Modeling: Calibrating Credit-Risk Factors
- Key Points
- Chapter 56 Investing in Distressed Structured Credit Securities
- Chapter 57 Hedge Fund Fixed Income Strategies
- Chapter 58 Financing Positions in the Bond Market
- Part Nine Derivatives
- Chapter 59 Introduction to Interest-Rate Futures and Options Contracts
- Chapter 60 Pricing Futures and Portfolio Applications
- Chapter 61 Controlling Interest-Rate Risk with Futures and Options
- Chapter 62 Interest-Rate Swaps and Swaptions
- Frank J. Fabozzi, Steven V. Mann, and Moorad Choudhry
- Description of an Interest-Rate Swap
- Interpreting a Swap Position
- Terminology, Conventions, and Market Quotes
- Valuing Interest-Rate Swaps
- Primary Determinants of Swap Spreads
- Nongeneric Interest-Rate Swaps
- Canceling a Swap
- Credit Risk
- Swaptions
- Key Points
- Chapter 63 The Valuation of Interest-Rate Swaps and Swaptions
- Chapter 64 The Basics of Interest-Rate Options
- Chapter 65 Interest-Rate Caps and Floors
- Chapter 66 Credit Derivatives
- Chapter 67 Credit Derivative Valuation and Risk
- Chapter 68 Hedging Tail Risk
- Part Ten Performance Evaluation and Return Attribution Analysis
- Appendix Methodology for Calculating Currency Exposures in Bond Portfolios and Indexes
- Index
- Footnotes
- Chapter 1
- Chapter 2
- Chapter 3
- Chapter 4
- Chapter 5
- Chapter 6
- Chapter 7
- Chapter 8
- Chapter 9
- Chapter 10
- Chapter 11
- Chapter 12
- Chapter 13
- Chapter 15
- Chapter 16
- Chapter 17
- Chapter 18
- Chapter 19
- Chapter 20
- Chapter 21
- Chapter 22
- Chapter 23
- Chapter 24
- Chapter 25
- Chapter 26
- Chapter 27
- Chapter 28
- Chapter 29
- Chapter 30
- Chapter 31
- Chapter 32
- Chapter 34
- Chapter 35
- Chapter 36
- Chapter 37
- Chapter 38
- Chapter 39
- Chapter 40
- Chapter 41
- Chapter 42
- Chapter 43
- Chapter 45
- Chapter 46
- Chapter 47
- Chapter 48
- Chapter 50
- Chapter 51
- Chapter 53
- Chapter 54
- Chapter 55
- Chapter 57
- Chapter 58
- Chapter 59
- Chapter 60
- Chapter 61
- Chapter 62
- Chapter 63
- Chapter 64
- Chapter 65
- Chapter 66
- Chapter 67
- Chapter 68
- Chapter 69
- Chapter 70
- Chapter 71
5. Pierre Collin-Dufresne and Robert Goldstein, “Do Credit-Spreads Reflect Stationary Leverage Ratios?”Journal of Finance 56 (2001), pp. 1929–1958.
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