Bond Markets, Analysis and Strategies Global Edition

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Series
Pearson
Author
Frank J Fabozzi  
Publisher
Pearson
Cover
Softcover
Edition
8
Language
English
Total pages
704
Pub.-date
March 2012
ISBN13
9780273766131
ISBN
0273766139
Related Titles

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For students enrolled in Fixed Income Securities Courses or Bond Markets Courses.

An applied approach to understanding bond markets.

Through its applied approach, Fabozzi's Bond Markets prepares students to analyze the bond market and manage bond portfolios without getting bogged down in the theory.

This edition has been streamlined and updated with new content, and features overall enhancements based on previous editions’ reader and instructor feedback.

Features

For students enrolled in Fixed Income Securities Courses or Bond Markets Courses.

An applied approach to understanding bond markets.

Through its applied approach, Fabozzi's Bond Markets prepares students to analyze the bond market and manage bond portfolios without getting bogged down in the theory.

This edition has been streamlined and updated with new content, and features overall enhancements based on previous editions’ reader and instructor feedback.

Offer hands-on learning: Applied Approach. The author's extensive experience in the field is reflected in his uniquely applied approach.

NEW! Get straight to the point:

  • With the exception of the first chapter, all chapters end with key points in bullet form instead of a summary. This allows students to quickly and readily identify the key points of the chapter without sorting through more text.
  • The chapter on Collateralized Debt Obligations has been removed from the eighth edition for brevity’s sake. There has not been any issuance of this product with the exception of collateralized loan obligations, and it is highly unlikely there will be future issuance.

NEW! Provide the latest information:

New Chapters:

  • Chapter 23: Bond Portfolio Construction is dedicated to the different approaches used by portfolio managers to construct bond portfolios. The primary focus is how a multi-factor model can be used to identify the sources of risk of a portfolio.
  • Chapter 29: Credit Default Swaps. Since the major credit derivative used for trading credit risk and controlling portfolio credit risk is the credit default swap, this new chapter describes this product and its applications.

Significantly Revised Chapters:

  • Chapter 6: Treasury and Agency Securities includes a thoroughly revised discussion on agency securities.
  • Chapter 7: Corporate Debt Instruments is a completely revised chapter covering bank loans (particularly leveraged loans) and collateralized loan obligations.
  • Chapter 8: Municipal Securities has beenrevised to eliminate the details of different types of municipal revenue bonds and the inclusion of Build America Bonds.
  • Chapter 9: International Bonds contains significant changes to describe products and sector performance.
  • Chapter 12: Agency Collateralized Mortgage Obligations and Stripped Mortgage-Backed Securities offers a revision on the coverage on stripped mortgage-back securities.
  • Chapter 13: Nonagency Residential Mortgage-Backed Securities includes an extensive revision on the market following the subprime mortgage meltdown that can be traced back to the summer of 2007.
  • Chapter 22: Bond Portfolio Management Strategies, parts of which are included in Chapter 23 (Active Bond Portfolio Management Strategies) and Chapter 24 (Indexing), provides a more structured discussion of bond portfolio management strategies. This discussion also describes active and passive strategies, and the bond portfolio management team. 
  • Chapter 25: Bond Performance Measurement and Evaluation, which was Chapter 26 in the seventh edition, provides more in-depth coverage showing how bond attribution models can be used to identify the active management decisions that contributed to the portfolio’s performance. This coverage also gives a quantitative assessment of the contribution of these decisions.
  • Chapter 26: Interest-Rate Futures, previously Chapter 27, the two major changes are an update to the types of interest-rate futures contracts currently traded and an extensive illustration has been added to demonstrate how interest-rate futures can be used to control portfolio risk.
  • Chapter 28: Interest-Rate Swaps, Caps, and Floors, includes an extensive illustration that explains how interest-rate swaps and swaptions can be used to control portfolio risk.

New to this Edition

NEW! Get straight to the point:

  • With the exception of the first chapter, all chapters end with key points in bullet form instead of a summary. This allows students to quickly and readily identify the key points of the chapter without sorting through more text.
  • The chapter on Collateralized Debt Obligations has been removed from the eighth edition for brevity’s sake. There has not been any issuance of this product with the exception of collateralized loan obligations, and it is highly unlikely there will be future issuance.

NEW! Provide the latest information:

New Chapters:

  • Chapter 23: Bond Portfolio Construction is dedicated to the different approaches used by portfolio managers to construct bond portfolios. The primary focus is how a multi-factor model can be used to identify the sources of risk of a portfolio.
  • Chapter 29: Credit Default Swaps. Since the major credit derivative used for trading credit risk and controlling portfolio credit risk is the credit default swap, this new chapter describes this product and its applications.

Significantly Revised Chapters:

  • Chapter 6: Treasury and Agency Securities includes a thoroughly revised discussion on agency securities.
  • Chapter 7: Corporate Debt Instruments is a completely revised chapter covering bank loans (particularly leveraged loans) and collateralized loan obligations.
  • Chapter 8: Municipal Securities has beenrevised to eliminate the details of different types of municipal revenue bonds and the inclusion of Build America Bonds.
  • Chapter 9: International Bonds contains significant changes to describe products and sector performance.
  • Chapter 12: Agency Collateralized Mortgage Obligations and Stripped Mortgage-Backed Securities offers a revision on the coverage on stripped mortgage-back securities.
  • Chapter 13: Nonagency Residential Mortgage-Backed Securities includes an extensive revision on the market following the subprime mortgage meltdown that can be traced back to the summer of 2007.
  • Chapter 22: Bond Portfolio Management Strategies, parts of which are included in Chapter 23 (Active Bond Portfolio Management Strategies) and Chapter 24 (Indexing), provides a more structured discussion of bond portfolio management strategies. This discussion also describes active and passive strategies, and the bond portfolio management team. 
  • Chapter 25: Bond Performance Measurement and Evaluation, which was Chapter 26 in the seventh edition, provides more in-depth coverage showing how bond attribution models can be used to identify the active management decisions that contributed to the portfolio’s performance. This coverage also gives a quantitative assessment of the contribution of these decisions.
  • Chapter 26: Interest-Rate Futures, previously Chapter 27, the two major changes are an update to the types of interest-rate futures contracts currently traded and an extensive illustration has been added to demonstrate how interest-rate futures can be used to control portfolio risk.
  • Chapter 28: Interest-Rate Swaps, Caps, and Floors, includes an extensive illustration that explains how interest-rate swaps and swaptions can be used to control portfolio risk.

Table of Contents

Chapter 1: Introduction

Chapter 2: Pricing of Bonds

Chapter 3: Measuring Yield

Chapter 4: Bond Price Volatility

Chapter 5: Factors Affecting Bond Yields and the Term Structure of Interest Rates

Chapter 6: Treasury and Federal Agency Securities

Chapter 7: Corporate Debt Instruments

Chapter 8: Municipal Securities

Chapter 9: International Bonds

Chapter 10: Residential Mortgage Loans

Chapter 11: Agency Mortgage Pass-Through Securities

Chapter 12: Agency Collateralized Mortgage Obligations and Stripped Mortgage-Backed Securities

Chapter 13: Nonagency Residential Mortgage-Backed Securities

Chapter 14: Commercial Mortgage Loans and Commercial Mortgage-Backed Securities

Chapter 15: Asset-Backed Securities

Chapter 16: Interest Rate Models

Chapter 17: Analysis of Bonds with Embedded Options

Chapter 18: Analysis of Residential Mortgage-Backed Securities

Chapter 19: Analysis of Convertible Bonds

Chapter 20: Corporate Bond Credit Analysis

Chapter 21: Credit Risk Modeling

Chapter 22: Bond Portfolio Management Strategies

Chapter 23: Bond Portfolio Construction

Chapter 24: Liability-Driven Strategies

Chapter 25: Bond Performance Measurement and Evaluation

Chapter 26: Interest-Rate Futures Contracts

Chapter 27: Interest Rate Options

Chapter 28: Interest-Rate Swaps, Caps, and Floors

Chapter 29: Credit Default Swaps