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Municipal bond portfolio management

Municipal bond portfolio management (1회 대출)

자료유형
단행본
개인저자
Fabozzi, Frank J. Fabozzi, T. Dessa, 1960-. Feldstein, Sylvan G.
서명 / 저자사항
Municipal bond portfolio management / Frank J. Fabozzi, T. Dessa Fabozzi, and Sylvan G. Feldstein.
발행사항
Burr Ridge, Ill. :   Irwin Professional Pub.,   c1995.  
형태사항
xvii, 360 p. : ill. ; 24 cm.
ISBN
1556236727
일반주기
Includes index.  
일반주제명
Municipal bonds. Portfolio management.
000 00796camuuu200253 a 4500
001 000000917394
005 19990114143339.0
008 940406s1995 ilua 001 0 eng
010 ▼a 94015558
020 ▼a 1556236727
040 ▼a DLC ▼c DLC ▼d DLC ▼d 244002
049 0 ▼l 151008045
050 0 0 ▼a HG4726 ▼b .F33 1995
082 0 0 ▼a 332.63/233 ▼2 20
090 ▼a 332.63233 ▼b F121m
100 1 ▼a Fabozzi, Frank J.
245 1 0 ▼a Municipal bond portfolio management / ▼c Frank J. Fabozzi, T. Dessa Fabozzi, and Sylvan G. Feldstein.
260 ▼a Burr Ridge, Ill. : ▼b Irwin Professional Pub., ▼c c1995.
300 ▼a xvii, 360 p. : ▼b ill. ; ▼c 24 cm.
500 ▼a Includes index.
650 0 ▼a Municipal bonds.
650 0 ▼a Portfolio management.
700 1 ▼a Fabozzi, T. Dessa, ▼d 1960-.
700 1 ▼a Feldstein, Sylvan G.

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No. 1 소장처 중앙도서관/서고6층/ 청구기호 332.63233 F121m 등록번호 111481412 도서상태 대출가능 반납예정일 예약 서비스 B M
No. 2 소장처 세종학술정보원/사회과학실/ 청구기호 332.63233 F121m 등록번호 151008045 도서상태 대출가능 반납예정일 예약 서비스
No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/서고6층/ 청구기호 332.63233 F121m 등록번호 111481412 도서상태 대출가능 반납예정일 예약 서비스 B M
No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 세종학술정보원/사회과학실/ 청구기호 332.63233 F121m 등록번호 151008045 도서상태 대출가능 반납예정일 예약 서비스

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CONTENTS
Ⅰ INTRODUCTION = 1
 Goals of the Book = 2
 Overview of the Book = 3
SECTION 1 MUNICIPAL BOND MARKET AND INSTRUMENTS = 7
 2 FEATURES AND TYPES OF MUNICIPALS AND THEIR RISKS = 9
  Contractual Features of Municipal Bonds = 9
  Features of Municipal Bonds = 10
  Par Value = 10
  Coupon Interest = 10
  Maturity Date = 12
  The Legal Opinion = 12
  Bearer Bonds, Registered Bonds, and Book-Entry = 13
  Call and Refunding Provisions = 13
  Sinking Fund Provisions = 15
  Other Features = 16
  Types of Municipal Obligations = 16
   Bonds = 16
   Hybrid and Special Bond Securities = 20
   Money Mar-A-t Products = 22
   Derivative Securities = 24
  Tax Provisions Affecting Municipals = 24
   Alternative Minimum Tax = 24
   Deductibility of Interest Fxpense Incurred to Acquire Municipals = 25
  Risks Associated with Investing in Municipal Securities = 26
   Credit Risk or Default Risk = 26
   Interest Rate or Market Risk = 27
   Reinvestment Risk = 27
   Call Risk = 27
   Volatility Risk = 28
   Tax Risk = 28
   Inflation or Purchasing-Power Risk = 29
  Primary and Secondary Market = 29
   Primary Market = 29
   Secondary Market = 30
 3 REFUNDED, INSURED, AND BANK-BACKED MUNICIPAL BONDS = 33
  Refunded Municipal Bonds = 33
   Pure versus Mixed, or Crossover Escrow Funds = 34
   Reasons for Refundings = 34
   Determining the Credit Quality ojr the Refunded Bonds = 35
   Types of Refunded Bonds : "Prerefunded" or ETMs = 36
   Some Caveats for Investors = 37
   Call Feature and Price Risk Protection Required for ETMs = 38
  Insured Municipal Bonds = 38
   How Insured Bonds Trade and Swapping Opportunities = 39
   Do Insured Bonds Sell and Trade Like Aaa/AAA Credits? = 39
   Why Are Bonds Insured? = 39
   The Insurers = 41
  Bank-Backed Municipals = 53
   Letter of Credit = 53
   "Irrevocable" Line of Credit = 54
   Revolving Line of Credit = 54
   Bond Purchase Agreement = 54
 4 MUNICIPAL DERIVATIVE SECURITIES = 55
  Swap Market = 56
   Floating-Rate Securities/Inverse Floating-Rate Bonds = 57
    Creation of an Inverse Floater = 58
    Variations of the Floater/Inverse Floater Structures = 61
   Strips and Partial Strips = 62
   Other Products = 63
SECTION 2 VALUATION AND PRICE VOLATILITY OF MUNICIPAL BONDS = 67
 5 PRICING OF MUNICIPAL BONDS = 69
  Pricing a Bond = 69
  Price/Yield Relationship for an Option-Free Bond = 73
  The Relationship between Coupon Rate, Required Yield, and Price = 73
  The Relationship between Bond Price and Time If Interest Rates Are Unchanged = 75
  Reasons for the Change in the Price of a Municipal Bond = 75
  Flat Price, Full Price, and Accrued Interest = 76
 6 YIELD MEASURES
  Sources of Potential Return = 79
  Traditional Yield Measures = 80
   Current Yield = 80
   Yield to Maturity = 80
   Yield to Call = 85
   Yield' to Put = 86
   Yield to Worst = 86
   Yield Measure for a Floating Rate Note = 87
  Portfolio Yield = 89
   Weighted Average Portfolio Yield = 89
   Portfolio Internal Rate of Return = 90
 7 PRICE VOLATILITY CHARACTERISTICS OF MUNICIPAL BONDS
  Price/Yield Relationship for Option-Free Municipal Bonds = 91
  Bond Price Volatility = 93
   Volatility in Terms of Percentage Price Change = 94
   Volatility in Terms of Dollar Price Change = 94
   The Effects of Yield to Maturity = 95
  Measures of Bond Price Volatility = 96
   Price Value of a Basis Point = 96
   Yield Value of a Price Change = 98
   Duration = 99
  Convexity = 104
  Limitations of Duration = 108
   Estimate Good Only for Small/Yield Changes = 108
   Portfolio Duration and Nonparallel Yield Curve Shifts = 109
   Yield Volatility Is Not Recognized = 109
   Applicable Only to Option-Free Ronds = 110
  Approximating Duration and Convexity for Any Bond = 110
  Effective Duration and Effective Convexity = 112
  Summary = 113
 8 THE STRUCTURE OF INTEREST RATES IN THE MUNICIPAL BOND MARKET
  The Base Interest Rate = 115
  Risk Premium = 115
   Perceived Creditworthiness of Issuer = 116
   Term to Maturity = 117
   Inclusion of Options = 117
   Tax Treatment at the State and Local Level = 118
   Temporary Supply and Demand Imbalances = 118
   Expected Liquidity of un Issue = 119
  The Term Structure of Interest Rates = 119
   The Yield Curve = 119
   Using the Yield Curve to Price a Bond = 121
   Constructing the Theoretical Spot Rate Curve = 123
   Forward Rates = 125
   Determinants of the Shape of the Term Structure = 129
  Summary = 135
 9 VALUATION OF MUNICIPAL BONDS WITH EMBEDDED OPTIONS = 137
  Underlying Principles = 138
   Overview of Bond Valuation = 138
   Conceptual Approach to the Valuation of Bonds with Embedded Options = 140
  Valuation Model = 141
   Generating the Interest Rate Tree = 142
   Valuing a Bond Using the Interest Rate Tree = 142
   Valuing a AAA Municipal Bond = 149
   Valuing an A-Rated Bond = 150
   Valuing Callable Bonds = 152
   Valuing Putable Bonds = 153
   Valuing Bonds with Multiple Embedded Options = 153
  Specific Adjustments to the Valuation Model for Municipal Bonds = 154
   Tax Adjustments to the Model = 154
   Adjustments for Advance Refunding = 156
  Horizon Price = 157
  Other Values Calculated from the Model = 153
   Option Value = 158
   Effective Yield = 158
   Effective Duration and Convexity = 158
  Relative Value Analysis of Municipal Bonds = 159
   Option-Adjusted Spread Analysis = 159
   Volatility Analysis = 160
  Applications of Option-Adjusted Analysis to Portfolio Management = 161
  Summary = 161
SECTION 3 CREDIT ANALYSIS = 163
 10 REASONS FOR CREDIT CONCERNS = 165
  Why Investors Are Now More Concerned about Credit Risk Than Ever Before = 165
   Defaults and the Federal Bankruptcy Law = 165
   Innovative Financing Techniques and Legally Untested Security Structures = 166
   Cutbacks in Programs = 167
   Secular Declines within the American Economy = 167
   The Strong Public Demand for Municipal Bonds = 168
   Trading Strategies = 168
  Why It Is Important to Know the Credit Risk before Buying a Municipal Bond = 169
   The Potential for Default = 170
   Degrees of Safety = 170
   Short-Term versus Long-Term Opportunities = 171
  The Municipal Bankruptcy Law = 171
   The Primary Changes = 176
   How "Special Revenues" Are Defined = 177
 11 COMPANIES THAT RATE MUNICIPAL BONDS = 179
  Moody's = 179
  Standard & Poor's = 181
  How the Rating Companies Differ = 182
   Evaluating the Four Basic Informational Categories = 184
   Comparing State and Local Government General Obligation Bonds = 185
   Assessing the Moral Obligation Bonds = 186
   Assessing the Importance of Withholding State Aid to Pay Debt Service = 187
   Assessing the Importance of Accounting Records = 188
  Fitch = 189
 12 FRAMEWORK FOR ASSESSING CREDIT RISK = 191
  What Are the Agreements? = 191
  Who Is the Trustee? = 192
  Is What You See, What You Get? = 193
  Do Innovative Security Structures Always Pose Equal Credit Risks for the Investor? = 194
  The Legal Opinion = 196
  General Obligation Bonds, 197
   Revenue Bonds = 197
   Legally Untested Security Structures and New Financing Techniques = 200
   The Need for Reliable Legal Opinions = 201
  What Is the Issuer's Character? = 202
   For General Obligation Bonds = 202
   For Revenue Bonds = 202
  On the Financial Adviser and Underwriter = 203
  Summary = 205
 13 GUIDELINES FOR ASSESSING CREDIT RISK = 207
  Airport Revenue Bonds = 207
  Bonds Backed by Reourchase Agreements, or "Repos" = 209
   What is a Reps? = 209
   Evaluaning Repo Agreements = 209
  Certificates of Participation (COPs) = 211
   Security = 211
   Selective Factors to Consider = 211
  FHA-Insured Mortgage Hospital Revenue Bonds = 213
   What Is FHA Hospital Mortgage Insurance? = 214
   What Is the Credit Risk? = 214
   What Is the "Prudent Man" Evaluation Approach? = 215
  General Obligation Bonds = 217
   Debt Burden = 217
   Budgetary Soundness = 218
   Tax Burden = 218
   Overall Economy = 219
  Highway Revenue Bonds = 219
  Hospital Revenue Bonds, 221
  Housing Revenue Bonds = 223
  Industrial Development Revenue Bonds = 227
  Lease-Rental Bonds = 227
  Moral Obligation Bonds = 228
   The Moral Obugation Piedge = 228
   Determining the Value of the Moral Obligation = 229
  Public Power Revenue Bonds = 231
  Resource Recovery Bonds = 232
  Student Loan Revenue Bonds = 234
  Tax, Revenue, Grant, and Bond Anticipation Notes = 236
   Two Major Purposes of Notes = 237
   Security behind Tax and Revenue Anticipation Notes = 238
   Information Needed before Buying Tax or Revenue Anticipation Notes = 238
   Security behind Bond Anticipation Notes = 241
   Information Needed before Buying Bond Anticipation Notes = 241
   Security behind the General Obligation Pledge = 242
  Water and Sewer Revenue Bonds = 243
  Zero Coupon Bonds = 245
   Credit Analysis of Zero Coupon Bonds = 245
  Red Flags for the General Obligation Bond Investor = 246
  Red Flags for the Revenue Band Investor = 247
SECTION 4 MUNICIPAL BOND PORTFOLIO MANAGEMENT = 249
 14 ACTIVE TOTAL RETURN MANAGEMENT OF MUNICIPAL BOND PORTFOLIOS = 251
  Municipal Bond Investment Management Process = 251
   Setting Investment Objectives = 251
   Establishing Investment Policy = 252
   Selecting a Portfolio Strategy = 253
   Selecting Assets = 254
   Measuring and Evaluating Performance = 254
  Total Return Framework = 255
   Using Total Return to Compare Municipal and Corporate Bonds = 257
   Portfolio Total Return = 259
  Active Strategies = 260
   Interest Rate Expectations Strategies = 262
   Municipal Yield Curve Strategies = 263
   Yield Spread Strategies = 266
   Individual Security Selection Strategies = 268
  Summary = 269
 15 THE ROLE OF MUNICIPAL DERIVATIVE SECURITIES IN PORTFOLIO MANAGEMENT = 271
  Valuation of Inverse Floaters = 271
   Price Performance of an Inverse Floater = 274
   Duration of an Inverse Floater = 276
   Interpretation of an Inverse Floater Position = 276
  Investment Characteristics of Derivative Securities = 277
 16 MUNICIPAL BOND FUTURES CONTRACTS AND THEIR ROLE IN PORTFOLIO MANAGEMENT = 281
  Mechanics of Futures Trading = 282
   The Role of the Clearinghouse = 283
   Margin Requirements = 283
  Futures versus Forward Contracts = 284
  Risk and Return Characteristics of Futures Contracts = 285
  Treasury Bond Futures Contracts = 286
  Bond Buyer's Municipal Bond Index Futures Contract = 288
   The BBI = 289
  Pricing of the Municipal Bond Index Futures Contracts = 292
   Basic Principles of Valuing Futures = 293
   Theoretical Futures Price Based on Arbitrage Model = 295
   A Closer Look at the Theoretical Futures Price = 297
   The Theoretical Price for the Municipal Bond Index Futures Contract = 300
   Implied Repo Rate = 301
  Applications to Portfolio Management = 301
   Speculating on the Movement of Interest Rates = 301
   Controlling the Interest Rate Risk of a Portfolio = 302
   Hedging = 302
   Creating Synthetic Securities for Yield Enhancement = 305
   Trading the MOB Spread = 307
  Summary = 309
APPENDIX INVESTMENT FEATURES OF NOT WIDELY 'UNDERSTOOD MUNICIPAL SECURITIES = 311
 State Revolving Revenue Bonds = 311
  Historical Perspective = 312
  The Clean Water Act of 1987 and the SRF Program = 312
  The State Revolving Fund Revenue Bond = 314
  Conclusions = 317
 Bridgeport. Connecticut "RESCO" Bonds = 317
  Tight Pollution Controls = 318
  Greater Plant Capacity Than Originally Expected = 318
  Diminished Reliance on the City of Bridgeport and Increased Plant Revenues = 318
  Security = 318
 California's Health Facilities Construction Loan Insurance Fund-Backed Bonds = 319
 California's "Mello-Roos" Bonds = 320
  How Are the Bonds Secured? = 320
  Questions to Ask Concerning the General Credit Risk = 321
  Some General Concerns = 323
  Conclusion = 323
 California's Tax Allocation Bonds = 324
  How Are the Bonds Secured? = 324
  Questions to Ask Concerning the General Credit Risk = 325
  Conclusion and Quality Opinion = 327
 Connecticut's "Special Capital Reserve Fund" Bonds = 327
 Florida's "Preservation 2000" Revenue Bonds = 328
 Massachusetts Hospital Bonds under Chapter 495 = 329
  The New Revenue Formula: No Regulation after 1993 = 329
  Deregulating Blue Cross = 330
  Previous Overcharges = 330
  Conclusion = 330
 Michigan's "Qualified" School Bonds = 330
 New Jersey "Qualified" School and City Bonds = 331
  Revenue Features = 331
  Bond Paying Procedures = 331
  Bond Strengths = 332
  Conclusion = 332
 New York MAC's "Second Resolution" Bonds = 332
  The Security = 333
  The Flow of Funds = 333
  The Additional Bonds Test = 333
  The Capital Reserve Aid Fund = 334
  Conclusion = 334
 New York State Local Government Assistance Corporation (LGAC) Bonds = 335
  Security = 335
  The I Percent Sales Tax = 335
  Purpose = 336
 New York State Local School District Bounds = 336
  School Districts in New York State = 336
  Why Is the Tax Collection Rate Always 100 Percent for Most School Districts? = 336
  Additional Bond Security = 337
  How Important to the School Districts Budgei Are the State Aid Payments? = 337
  Section 99-b Drawbacks = 337
  Additional Case Law Support = 338
 New York State "Secured Hospital" Revenue Bonds = 338
 Old Maine Bonds That Are Now "Funding Intercept" Backed = 340
  How the New Funding Intercept Works = 341
  Drawbacks = 341
 Orange Courty, Florida's "Tourism" Bonds = 342
 San Francisco Bay Area Rapid Transit District (BART) Bonds = 343
 SCH Health Care System Revenue Bonds = 344
 Tampa Capital Improvement Series 1988A Revenue Bonds = 346
  Procedure = 347
  Security = 347
  Special Call = 347
 Texas Municipal Utility District (MUD) Bonds = 348
  How Are the Bonds Secured? = 349
  Questions to Ask Concerning the General Credit Risk = 349
  Conclusion = 351


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