The comprehensively updated new edition of a bestselling textbook that covers fundamental features of bonds, analytical techniques, and portfolio strategies. Now in its 11th edition, this bestselling textbook illuminates the complexities and dynamics of the bond markets, integrating rigorous technical content with real-world case studies to effectively bridge theory and application. Advances in technology and data availability have fundamentally transformed how fixed-income securities are valued, traded, and managed. This fully updated new edition addresses the growing demand for tools and techniques that support sophisticated decision-making in increasingly complex markets by incorporating the latest analytical frameworks and computational methods with a solid grounding in core principles. Designed for a broad audience, it gives students the fundamental knowledge they need to excel in portfolio management, trading, and risk analysis roles while equipping experienced practitioners with more profound insights into advanced strategies and contemporary challenges. New edition highlights:

Autorentext

Frank J. Fabozzi is Professor of Practice in Finance at Johns Hopkins Carey Business School. He is the author of Introduction to Fixed-Income Analysis and Portfolio Management, Capital Markets: Institutions, Instruments, and Risk Management, 6e and Entrepreneurial Finance and Accounting for High-Tech Companies and coauthor of Simulation, Optimization, and Machine Learning for Finance, The Economics of FinTech, and Foundations of Global Financial Markets and Institutions (all MIT Press). Francesco A. Fabozzi is Research Director at Yale School of Management's International Center for Finance. He serves as the Managing Editor of The Journal of Financial Data Science and the Director of Data Science at the CFA Institute Research Foundation. He is the coauthor of six books in asset management and corporate finance.

Inhalt

About the Authors
Preface
Part I: Foundations of Bonds and Interest Rates
Chapter 1: The Essentials of Bonds: Structures, Risks, and Market Participants
Chapter 2: Interest Rates: Theories, Structures, and Market Implications
Chapter 3: Analytical Tools for Bond Portfolio Management
Chapter 4: Fundamentals of Bond Valuation
Chapter 5: Measuring Yield and Total Return for Bonds
Part II: Bond Price Dynamics and Term Structure
Chapter 6: Bond Price Volatility: Interest-Rate Sensitivity Measures
Chapter 7: The Term Structure of Interest Rates
Part III: Debt Instruments
Chapter 8: Government and Government-Related Debt Instruments
Chapter 9: Corporate Debt Instruments
Chapter 10: The Structure and Classification of Residential Mortgage Loans
Chapter 11: Agency Mortgage Pass-Through Securities
Chapter 12: Agency MBS Derivatives: Collateralized Mortgage Obligations and Stripped MBS
Chapter 13: Nonagency Residential Mortgage-Backed Securities
Chapter 14: Commercial Mortgage Loans and Commercial Mortgage-Backed Securities
Chapter 15: Asset-Backed Securities
Part IV: Credit Analysis and Risk Modeling
Chapter 16: Corporate Bond Credit Analysis
Appendix: Using Monte Carlo Simulation to Assess Bond Credit Risk
Chapter 17: Credit Risk Modeling
Part V: Advanced Bond Valuation
Chapter 18: Analysis of Bonds with Embedded Options
Chapter 19: Analysis of Residential Mortgage-Backed Securities
Appendix: Calculating Duration
Chapter 20: Analysis and Valuation of Convertible Bonds
Part VI: Portfolio Management and Strategies
Chapter 21: Bond Portfolio Management
Appendix A: Markowitz
Appendix B: Factor Model
Chapter 22: Structured Portfolio Strategies: Indexing and Liability-Driven Investing
Appendix: Illustration of Cash Flow Matching
Chapter 23: Bond Trading Mechanics
Chapter 24: Bond Trading Strategies
Appendix: How Institutional Investors Create Leverage via the Repo Market
Chapter 25: Managing a Corporate Bond Portfolio
Part VII: Performance Measurement and Backtesting
Chapter 26: Evaluating Bond Portfolio Strategies Through Backtesting
Chapter 27: Evaluating Performance in Bond Portfolio Management
Appendix A: Holding-Based Attribution Analysis Using the Campisi Model
Appendix B: Yield-Curve Performance Attribution Analysis
Part VIII: Derivatives and Their Application in Bond Portfolio Management
Chapter 28: Interest-Rate Futures in Bond Portfolio Management
Appendix A: Interest-Rate Hedging with U.S. Treasury Futures
Appendix B: To Hedge or Not to Hedge?
Appendix C: Efficient Asset Allocation Using Futures
Chapter 29: Interest-Rate Options
Chapter 30: Interest-Rate Swaps, Forward-Rate Agreements, Caps, and Floors
Chapter 31: Credit Default Swaps
Appendix A: Efficiently Replicating Corporate Bond Returns with CDS Indices
Appendix B: Using a CDS Overlay Strategy to Manage Return-to-Risk Profile