Produktbild: Fixed Income Analysis

Fixed Income Analysis

Aus der Reihe The CFA Institute Series

Fr. 118.00

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Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Verlag

John Wiley & Sons Inc

Seitenzahl

752

Maße (L)

25.6 cm

Auflage

3. Auflage

Sprache

Englisch

ISBN

978-1-118-99949-3

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Verlag

John Wiley & Sons Inc

Seitenzahl

752

Maße (L)

25.6 cm

Auflage

3. Auflage

Sprache

Englisch

ISBN

978-1-118-99949-3

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Die Leseprobe wird geladen.
  • Produktbild: Fixed Income Analysis
  • Foreword xv

    Preface xvii

    Acknowledgments xix

    About the CFA Investment Series xxi

    PART I Fixed-Income Essentials

    CHAPTER 1 Fixed-Income Securities: Defining Elements 3

    Learning Outcomes 3

    1. Introduction 3

    2. Overview of a Fixed-Income Security 4

    3. Legal, Regulatory, and Tax Considerations 10

    4. Structure of a Bond's Cash Flows 23

    5. Bonds with Contingency Provisions 34

    6. Summary 41

    Problems 43

    CHAPTER 2 Fixed-Income Markets: Issuance, Trading, and Funding 45

    Learning Outcomes 45

    1. Introduction 45

    2. Overview of Global Fixed-Income Markets 46

    3. Primary and Secondary Bond Markets 58

    4. Sovereign Bonds 66

    5. Non-Sovereign Government, Quasi-Government, and Supranational Bonds 69

    6. Corporate Debt 71

    7. Short-Term Funding Alternatives Available to Banks 80

    8. Summary 86

    Problems 88

    CHAPTER 3 Introduction to Fixed-Income Valuation 91

    Learning Outcomes 91

    1. Introduction 91

    2. Bond Prices and the Time Value of Money 92

    3. Prices and Yields: Conventions for Quotes and Calculations 105

    4. The Maturity Structure of Interest Rates 128

    5. Yield Spreads 136

    6. Summary 141

    Problems 143

    PART II Analysis of Risk

    CHAPTER 4 Understanding Fixed-Income Risk and Return 153

    Learning Outcomes 153

    1. Introduction 154

    2. Sources of Return 154

    3. Interest Rate Risk on Fixed-Rate Bonds 162

    4. Interest Rate Risk and the Investment Horizon 195

    5. Credit and Liquidity Risk 201

    6. Summary 202

    Problems 205

    CHAPTER 5 Fundamentals of Credit Analysis 211

    Learning Outcomes 211

    1. Introduction 211

    2. Credit Risk 212

    3. Capital Structure, Seniority Ranking, and Recovery Rates 214

    4. Ratings Agencies, Credit Ratings, and Their Role in the Debt Markets 220

    5. Traditional Credit Analysis: Corporate Debt Securities 229

    6. Credit Risk vs. Return: Yields and Spreads 249

    7. Special Considerations of High-Yield, Sovereign, and Non-Sovereign Credit Analysis 258

    8. Summary 272

    Problems 275

    CHAPTER 6 Credit Analysis Models 279

    Learning Outcomes 279

    1. Introduction 279

    2. Measures of Credit Risk 281

    3. Traditional Credit Models 283

    4. Structural Models 289

    5. Reduced Form Models 297

    6. The Term Structure of Credit Spreads 308

    7. Asset-Backed Securities 315

    8. Summary 317
    References 318

    Problems 318

    PART III Asset-Backed Securities

    CHAPTER 7 Introduction to Asset-Backed Securities 323

    Learning Outcomes 323

    1. Introduction 323

    2. Benefits of Securitization for Economies and Financial Markets 324

    3. The Securitization Process 326

    4. Residential Mortgage Loans 335

    5. Residential Mortgage-Backed Securities 338

    6. Commercial Mortgage-Backed Securities 352

    7. Non-Mortgage Asset-Backed Securities 355

    8. Collateralized Debt Obligations 359

    9. Summary 363

    References 365

    Problems 365

    PART IV Valuation

    CHAPTER 8 The Arbitrage-Free Valuation Framework 371

    Learning Outcomes 371

    1. Introduction 371

    2. The Meaning of Arbitrage-Free Valuation 372

    3. Interest Rate Trees and Arbitrage-Free Valuation 375

    4. Monte Carlo Method 393

    5. Summary 395

    Problems 396

    CHAPTER 9 Valuation and Analysis: Bonds with Embedded Options 401

    Learning Outcomes 401

    1. Introduction 402

    2. Overview of Embedded Options 402

    3. Valuation and Analysis of Callable and Putable Bonds 407

    4. Interest Rate Risk of Bonds with Embedded Options 432

    5. Valuation and Analysis of Capped and Floored Floating-Rate Bonds 444

    6. Valuation and Analysis of Convertible Bonds 450

    7. Bond Analytics 462

    8. Summary 463

    Problems 465

    PART V Term Structure Analysis

    CHAPTER 10 The Term Structure and Interest Rate Dynamics 473

    Learning Outcomes 473

    1. Introduction 474

    2. Spot Rates and Forward Rates 474

    3. The Swap Rate Curve 493

    4. Traditional Theories of the Term Structure of Interest Rates 502

    5. Modern Term Structure Models 5