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McGraw-Hill authors represent the leading experts in their fields and are dedicated to improving the lives, careers, and interests of readers worldwide Frank J. Fabozzi is adjunct professor of finance at Yale University's School of Management. He is the author, co-author, or editor of literally dozens of titles on a plethora of investing topics.

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The definitive guide to fixed income securities-updated and revised with everything you need to succeed in today's market

The Handbook of Fixed Income Securities has been the most trusted resource for fixed income investing for decades, providing everything sophisticated investors need to analyze, value, and manage fixed income instruments and their derivatives.

But this market has changed dramatically since the last edition was published, so the author has revised and updated his classic guide to put you ahead of the curve. With chapters written by the leading experts in their fields, The Handbook of Fixed Income Securities, Ninth Edition provides expert discussions about:

• Basics of Fixed Income Analytics Treasuries, Agency, Municipal, and Corporate Bonds
• Mortgage-Backed and Asset-Backed Securities
• The Yield Curve and the Term Structure
• Valuation and Relative Value
• Credit Analysis
• Portfolio Management and Strategies
• Derivative Instruments and their Applications

• Performance Attribution Analysis The Handbook of Fixed Income Securities is the most inclusive, up-to-date source available for fixed income facts and analyses. Its invaluable perspective and insights will help you enhance investment returns and avoid poor performance in the fixed income market.

Inhalt

Preface
Acknowledgments
Contributors

PART ONE: INTRODUCTION

1. Overview of the Types and Features of Fixed Income Securities
2. Risks Associated with Investing in Fixed Income Securities
3. The Structure of Interest Rates

PART TWO: BASICS OF FIXED INCOME ANALYTICS

4. Bond Pricing, Yield Measures, and Total Return
5. Measuring Interest-Rate Risk
6. Data Science and the Corporate Credit Markets

PART THREE: TREASURY, AGENCY, MUNICIPAL, AND CORPORATE BONDS

7. U.S. Treasury Securities
8. Agency Debt Securities
9. Municipal Bonds
10. Corporate Bonds
11. Leveraged Loans
12. Structured Notes and Credit-Linked Notes
13. Commercial Paper
14. Floating-Rate Securities
15. Inflation-Linked Bonds
16. Non-U.S. Sovereign Bonds
17. The Emerging Markets Debt
18. Fixed Income Exchange Traded Funds
19. Nonconvertible Preferred Stock
20. Private Infrastructure Debt

PART FOUR: MORTGAGE-BACKED AND ASSET-BACKED SECURITIES

21. An Overview of Mortgages and the Mortgage Market
22. Agency Mortgage Passthrough Securities
23. Agency Collateralized Mortgage Obligations
24. Stripped Mortgage-Backed Securities
25. Nonagency Residential Mortgage-Backed Securities: Legacy, RMBS 2.0, and Non-QM
26. Covered Bonds
27. Commercial Mortgage-Backed Securities
28. Credit Card Asset-Backed Securities
29. Securities Backed by Auto Loans and Leases, Equipment Loans and Leases, and Student Loans
30. Collateralized Loan Obligations

PART FIVE: THE YIELD CURVE AND THE TERM STRUCTURE

31. Overview of Forward Rate Analysis
32. A Framework for Analyzing Yield-Curve Trades
33. Empirical Yield-Curve Dynamics and Yield-Curve Exposure
34. Term Structure Modeling with No-Arbitrage Interest Rate Models

PART SIX: VALUATION AND RELATIVE VALUE

35. Relative Value Trading
36. Valuation of Bonds with Embedded Options
37. Valuation of Mortgage-Backed Securities
38. Convertible Securities
39. Risk Neutral Pricing of Convertible Bonds

PART SEVEN: CREDIT ANALYSIS

40. Credit Analysis for Corporate Bonds
41. The Credit Analysis of Municipal General Obligation and Revenue Bonds
42. Credit-Risk Modeling

PART EIGHT: PORTFOLIO MANAGEMENT AND STRATEGIES

43. Introduction to Bond Portfolio Management
44. Trading in the Bond Market
45. Bond Indexes and Bond Portfolio Management
46. Quantitative Management of Benchmarked Portfolios
47. Factor Investing in Fixed Income Securities
48. Active Factor Fixed Income Investing
49. Introduction to Multifactor Risk Models in Fixed Income and Their Applications
50. Analyzing Risk from Multifactor Fixed Income Models
51. Cash-Flow Matching
52. Building Corporate Bond Portfolios
53. Managing the Spread Risk of Credit Portfolios Using the Duration Times Spread Measure
54. Constructing and Managing High-Yield Bond Portfolios
55. Corporate Bonds and ESG
56. Global Credit Bond Portfolio Management
57. International Bond Portfolio Management
58. Factor Investing in Sovereign Bond Markets
59. Hedge Fund Fixed Income Strategies
60. Financing Positions in the Bond Market

PART NINE: DERIVATIVE INSTRUMENTS AND THEIR APPLICATIONS

61. Introduction to Interest-Rate Futures and Options Contracts
62. Pricing Futures and Portfolio Applications
63. Controlling Interest-Rate Risk with Futures and Options
64. Interest-Rate Swaps
65. The Valuation of Interest-Rate Swaps and Swaptions
66. The Basics of Interest-Rate Options
67. Interest-Rate Caps and Floors
68. Credit Derivatives
69. Credit Derivative Valuation and Risk

PART TEN: PERFORMANCE ATTRIBUTION ANALYSIS

70. Principles of Performance Attribution
71. Performance Attribution for Portfolios of Fixed Income Securities
72. Advanced Topics in Performance Attribution

Index