Fixed Income Analysis
(Sprache: Englisch)
The essential guide to fixed income portfolio management, from the experts at CFA
Fixed Income Analysis provides authoritative and up-to-date coverage of how investment professionals analyze and manage fixed income portfolios. With detailed information...
Fixed Income Analysis provides authoritative and up-to-date coverage of how investment professionals analyze and manage fixed income portfolios. With detailed information...
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The essential guide to fixed income portfolio management, from the experts at CFAFixed Income Analysis provides authoritative and up-to-date coverage of how investment professionals analyze and manage fixed income portfolios. With detailed information from CFA Institute, this guide contains comprehensive, example-driven presentations of all essential topics in the field to provide value for self-study, general reference, and classroom use. Readers are first introduced to the fundamental concepts of fixed income before continuing on to analysis of risk, asset-backed securities, term structure analysis, and a general framework for valuation that assumes no prior relevant background. The final section of the book consists of three readings that build the knowledge and skills needed to effectively manage fixed income portfolios, giving readers a real-world understanding of how the concepts discussed are practically applied in client-based scenarios.
Part of the CFA Institute Investment series, this book provides a thorough exploration of fixed income analysis, clearly presented by experts in the field. Readers gain critical knowledge of underlying concepts, and gain the skills they need to translate theory into practice.
Understand fixed income securities, markets, and valuation
Master risk analysis and general valuation of fixed income securities
Learn how fixed income securities are backed by pools of assets
Explore the relationships between bond yields of different maturities
Investment analysts, portfolio managers, individual and institutional investors and their advisors, and anyone with an interest in fixed income markets will appreciate this access to the best in professional quality information. For a deeper understanding of fixed income portfolio management practices, Fixed Income Analysis is a complete, essential resource.
Inhaltsverzeichnis zu „Fixed Income Analysis “
Foreword xvPreface xviiAcknowledgments xixAbout the CFA Investment Series xxiPART I Fixed-Income EssentialsCHAPTER 1 Fixed-Income Securities: Defining Elements 3Learning Outcomes 31. Introduction 32. Overview of a Fixed-Income Security 43. Legal, Regulatory, and Tax Considerations 104. Structure of a Bond's Cash Flows 235. Bonds with Contingency Provisions 346. Summary 41Problems 43CHAPTER 2 Fixed-Income Markets: Issuance, Trading, and Funding 45Learning Outcomes 451. Introduction 452. Overview of Global Fixed-Income Markets 463. Primary and Secondary Bond Markets 584. Sovereign Bonds 665. Non-Sovereign Government, Quasi-Government, and Supranational Bonds 696. Corporate Debt 717. Short-Term Funding Alternatives Available to Banks 808. Summary 86Problems 88CHAPTER 3 Introduction to Fixed-Income Valuation 91Learning Outcomes 911. Introduction 912. Bond Prices and the Time Value of Money 923. Prices and Yields: Conventions for Quotes and Calculations 1054. The Maturity Structure of Interest Rates 1285. Yield Spreads 1366. Summary 141Problems 143PART II Analysis of RiskCHAPTER 4 Understanding Fixed-Income Risk and Return 153Learning Outcomes 1531. Introduction 1542. Sources of Return 1543. Interest Rate Risk on Fixed-Rate Bonds 1624. Interest Rate Risk and the Investment Horizon 1955. Credit and Liquidity Risk 2016. Summary 202Problems 205CHAPTER 5 Fundamentals of Credit Analysis 211Learning Outcomes 2111. Introduction 2112. Credit Risk 2123. Capital Structure, Seniority Ranking, and Recovery Rates 2144. Ratings Agencies, Credit Ratings, and Their Role in the Debt Markets 2205. Traditional Credit Analysis: Corporate Debt Securities 2296. Credit Risk vs. Return: Yields and Spreads 2497. Special Considerations of High-Yield, Sovereign, and Non-Sovereign Credit Analysis 2588. Summary 272Problems 275CHAPTER 6 Credit Analysis Models 279Learning Outcomes 2791. Introduction 2792. Measures of Credit Risk 2813. Traditional Credit Models 2834. Structural Models 2895. Reduced
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Form Models 2976. The Term Structure of Credit Spreads 3087. Asset-Backed Securities 3158. Summary 317References 318Problems 318PART III Asset-Backed SecuritiesCHAPTER 7 Introduction to Asset-Backed Securities 323Learning Outcomes 3231. Introduction 3232. Benefits of Securitization for Economies and Financial Markets 3243. The Securitization Process 3264. Residential Mortgage Loans 3355. Residential Mortgage-Backed Securities 3386. Commercial Mortgage-Backed Securities 3527. Non-Mortgage Asset-Backed Securities 3558. Collateralized Debt Obligations 3599. Summary 363References 365Problems 365PART IV ValuationCHAPTER 8 The Arbitrage-Free Valuation Framework 371Learning Outcomes 3711. Introduction 3712. The Meaning of Arbitrage-Free Valuation 3723. Interest Rate Trees and Arbitrage-Free Valuation 3754. Monte Carlo Method 3935. Summary 395Problems 396CHAPTER 9 Valuation and Analysis: Bonds with Embedded Options 401Learning Outcomes 4011. Introduction 4022. Overview of Embedded Options 4023. Valuation and Analysis of Callable and Putable Bonds 4074. Interest Rate Risk of Bonds with Embedded Options 4325. Valuation and Analysis of Capped and Floored Floating-Rate Bonds 4446. Valuation and Analysis of Convertible Bonds 4507. Bond Analytics 4628. Summary 463Problems 465PART V Term Structure AnalysisCHAPTER 10 The Term Structure and Interest Rate Dynamics 473Learning Outcomes 4731. Introduction 4742. Spot Rates and Forward Rates 4743. The Swap Rate Curve 4934. Traditional Theories of the Term Structure of Interest Rates 5025. Modern Term Structure Models 5076. Yield Curve Factor Models 5157. Summary 524References 525Problems 525PART VI Fixed-Income Portfolio ManagementCHAPTER 11 Fixed-Income Portfolio Management--Part I 531Learning Outcomes 5311. Introduction 5322. A Framework for Fixed-Income Portfolio Management 5323. Managing Funds against a Bond Market Index 5344. Managing Funds against Liabilities 5555. Summary 578Problems 580CHAPTER 12 Fixed-Income Portfolio Management--Part II 585Learning Outcomes 5855. Other Fixed-Income Strategies 5866. International Bond Investing 6087. Selecting a Fixed-Income Manager 6208. Summary 624Problems 625CHAPTER 13 Relative-Value Methodologies for Global Credit Bond Portfolio Management 633Learning Outcomes 6331. Introduction 6332. Credit Relative-Value Analysis 636A. Relative Value 638B. Classic Relative-Value Analysis 638C. Relative-Value Methodologies 6403. Total Return Analysis 6404. Primary Market Analysis 640A. The Effect of Market-Structure Dynamics 641B. The Effect of Product Structure 6415. Liquidity and Trading Analysis 6426. Secondary Trade Rationales 642A. Popular Reasons for Trading 643B. Trading Constraints 6457. Spread Analysis 647A. Alternative Spread Measures 647B. Closer Look at Swap Spreads 648C. Spread Tools 6498. Structural Analysis 650A. Bullets 651B. Callables 652C. Sinking Funds 652D. Putables 6539. Credit Curve Analysis 65410. Credit Analysis 65511. Asset Allocation/Sector Rotation 65512. Summary 657Problems 658Glossary 667About the Editors and Authors 683About the CFA Program 691Index 693
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Autoren-Porträt von Jerald E. Pinto, Barbara Petitt, Wendy L. Pirie
BARBARA S. PETITT, PHD, CFA, is Director, Curriculum Projects, EMEA, in the Education Division at CFA Institute. She holds a master's in management from EDHEC Business School as well as a master's in research and a PhD in finance from the University of Grenoble. She is a member of CFA Institute and CFA Society of the UK.JERALD E. PINTO, PHD, CFA, has been at CFA Institute since 2002 as Visiting Scholar, Vice President, and now Director, Curriculum Projects, in the Education Division for the CFA and CIPM programs. He holds an MBA from Baruch College and a PhD in finance from the Stern School and is a member of CFA Virginia.
WENDY L. PIRIE, PHD, CFA, is Director, Curriculum Projects, in the Education Division at CFA Institute. She holds a PhD in accounting and finance from Queen's University at Kingston, Ontario, and MBAs from the Universities of Toronto and Calgary. She is a member of CFA Institute, New York Society of Security Analysts, and CFA Society of Chicago.
Bibliographische Angaben
- Autoren: Jerald E. Pinto , Barbara Petitt , Wendy L. Pirie
- 2015, 3. Aufl., 752 Seiten, Maße: 18,4 x 26,1 cm, Gebunden, Englisch
- Verlag: Wiley & Sons
- ISBN-10: 1118999495
- ISBN-13: 9781118999493
- Erscheinungsdatum: 02.02.2015
Sprache:
Englisch
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