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Fixed income analysis for the chartered financial analyst program

Fixed income analysis for the chartered financial analyst program (Loan 7 times)

Material type
단행본
Personal Author
Fabozzi, Frank J. Fabozzi, Frank J.
Corporate Author
Association for Investment Management and Research.
Title Statement
Fixed income analysis for the chartered financial analyst program / Frank J. Fabozzi.
Publication, Distribution, etc
New Hope, Pa. :   F.J. Fabozzi Associates ,   c2000.  
Physical Medium
xvii, 715 p. : ill. ; 26 cm.
ISBN
188324983X
General Note
"Sponsored by Association for Investment Management and Research."  
Bibliography, Etc. Note
Includes bibliographical references and index.
Subject Added Entry-Topical Term
Fixed-income securities.
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001 000045209653
005 20051130144708
008 001121s2000 paua b 001 0 eng d
010 ▼a 00711775
020 ▼a 188324983X
035 ▼a (OCoLC)ocm45080832
040 ▼a FRG ▼c FRG ▼d DLC ▼d 211009
042 ▼a lccopycat
050 0 0 ▼a HG4650 ▼b .F329 2000
082 0 0 ▼a 332.63/23 ▼2 21
090 ▼a 332.6323 ▼b F121f
100 1 ▼a Fabozzi, Frank J.
245 1 0 ▼a Fixed income analysis for the chartered financial analyst program / ▼c Frank J. Fabozzi.
260 ▼a New Hope, Pa. : ▼b F.J. Fabozzi Associates , ▼c c2000.
300 ▼a xvii, 715 p. : ▼b ill. ; ▼c 26 cm.
500 ▼a "Sponsored by Association for Investment Management and Research."
504 ▼a Includes bibliographical references and index.
650 0 ▼a Fixed-income securities.
700 1 ▼a Fabozzi, Frank J.
710 2 ▼a Association for Investment Management and Research.
945 ▼a KINS

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.6323 F121f Accession No. 111341271 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents


CONTENTS
Foreword = ⅲ
Preface = ⅴ
Acknowledgments = ⅶ
Web Site Updates = xiv
About the Author = xiv
Note on Rounding Differences = xv
Level Ⅰ = 1
 Chapter 1 Features of Fixed Income Securities = 3
  Section Ⅰ Introduction = 4
  Section Ⅱ Indenture and Covenants = 5
  Section Ⅲ Maturity = 5
  Section Ⅳ Par Value = 6
  Section Ⅴ Coupon Rate = 6
  Section Ⅵ Provisions for Paying Off Bonds = 14
  Section Ⅶ Conversion Privilege = 20
  Section Ⅷ Put Provision = 20
  Section Ⅸ Currency Denomination = 20
  Section Ⅹ Embedded Options = 20
  Section XI Borrowing Funds to Purchase Bonds = 22
  Section XII Key Points = 23
  End of Chapter Questions = 26
  Solutions to End of Chapter Questions = 29
  Solutions to Practice Questions = 32
 Chapter 2 Risks Associated with Investing in Bonds = 33
  Section Ⅰ Introduction = 34
  Section Ⅱ Interest Rate Risk = 34
  Section Ⅲ Yield Curve Risk = 40
  Section Ⅳ Call and Prepayment Risk = 43
  Section Ⅴ Reinvestment Risk = 43
  Section Ⅵ Credit Risk = 44
  Section Ⅶ Liquidity Risk = 47
  Section Ⅷ Exchange Rate or Currency Risk = 49
  Section Ⅸ Inflation or Purchasing Power Risk = 50
  Section Ⅹ Volatility Risk = 50
  Section XI Event Risk = 51
  Section XII Key Points = 52
  End of Chapter Questions = 55
  Solutions to End of Chapter Questions = 59
  Solutions to Practice Questions = 63
 Chapter 3 Overview of Bond Sectors and Instruments = 65
  Section Ⅰ Introduction = 66
  Section Ⅱ U.S. Treasury Securities = 66
  Section Ⅲ Treasury STRIPs = 70
  Section Ⅳ Federal Agency Securities = 72
  Section Ⅴ Municipal Securities = 80
  Section Ⅵ Corporate Debt Instruments = 83
  Section Ⅶ Asset-Backed Securities = 91
  Section Ⅷ International Bonds = 93
  Section Ⅸ Key Points = 97
  End of Chapter Questions = 103
  Solutions to End of Chapter Questions = 106
  Solutions to Practice Questions = 111
 Chapter 4 Understanding Yield Spreads = 113
  Section Ⅰ Introduction = 114
  Section Ⅱ Interest Rate Determination = 114
  Section Ⅲ U.S. Treasury Rates = 116
  Section Ⅳ Yields on Non-Treasury Securities = 122
  Section Ⅴ Non-U.S. Interest Rates = 133
  Section Ⅵ Key Points = 135
  End of Chapter Questions = 138
  Solutions to End of Chapter Questions = 142
  Solutions to Practice Questions = 145
 Chapter 5 Introduction to the Valuation of Fixed Income Securities = 147
  Section Ⅰ Introduction = 148
  Section Ⅱ General Principles of Valuation = 148
  Section Ⅲ Traditional Approach to Valuation = 162
  Section Ⅳ The Arbitrage-Free Valuation Approach = 162
  Section Ⅴ Valuation Models = 169
  Section Ⅵ Key Points = 170
  End of Chapter Questions = 172
  Solutions to End of Chapter Questions = 174
  Solutions to Practice Questions = 179
 Chapter 6 Yield Measures, Spot Rates, and Forward Rates = 185
  Section Ⅰ Introduction = 186
  Section Ⅱ Sources of Return = 186
  Section Ⅲ Traditional Yield Measures = 187
  Section Ⅳ Theoretical Spot Rates = 201
  Section Ⅴ Forward Rates = 210
  Section Ⅵ Key Points = 218
  End of Chapter Questions = 221
  Solutions to End of Chapter Questions = 227
  Solutions to Practice Questions = 239
 Chapter 7 Introduction to the Measurement of Interest Rate Risk = 243
  Section Ⅰ Introduction = 244
  Section Ⅱ The Full Valuation Approach = 244
  Section Ⅲ Price Volatility Characteristics of Bonds = 247
  Section Ⅳ Duration = 255
  Section Ⅴ Convexity = 267
  Section Ⅵ Price Value of a Basis Point = 271
  Section Ⅶ The Importance of Yield Volatility = 272
  Section Ⅷ Key Points = 273
  End of Chapter Questions = 277
  Solutions to End of Chapter Questions = 281
  Solutions to Practice Questions = 287
Level Ⅱ = 289
 Chapter 1 The Term Structure and the Volatility of Interest Rates = 291
  Section Ⅰ Introduction = 292
  Section Ⅱ Historical Look at the Treasury Yield Curve = 292
  Section Ⅲ Treasury Returns Resulting from Yield Curve Movements = 295
  Section Ⅳ Constructing the Theoretical Spot Rate Curve for Treasuries = 298
  Section Ⅴ Theories of the Term Structure Theories = 302
  Section Ⅵ Measuring Yield Curve Risk = 309
  Section Ⅶ Yield Volatility and Measurement = 312
  Section Ⅷ Key Points = 322
  End of Chapter Questions = 325
  Solutions to End of Chapter Questions = 328
  Solutions to Practice Questions = 333
 Chapter 2 Valuing Bonds with Embedded Options = 335
  Section Ⅰ Introduction = 336
  Section Ⅱ Review of How to Value an Option-Free Bond = 338
  Section Ⅲ The Binomial Model = 339
  Section Ⅳ Valuing and Analyzing a Callable Bond = 347
  Section Ⅴ Valuing a Putable Bond = 356
  Section Ⅵ Valuing a Step-Up Callable Note = 358
  Section Ⅶ Valuing a Capped Floater = 359
  Section Ⅷ Analysis of Convertible Bonds = 363
  Section Ⅸ Key Points = 370
  End of Chapter Questions = 373
  Solutions to End of Chapter Questions = 378
  Solutions to Practice Questions = 385
 Chapter 3 Mortgage-Backed Securities = 389
  Section Ⅰ Introduction = 390
  Section Ⅱ Mortgages = 390
  Section Ⅲ Mortgage Passthrough Securities = 393
  Section Ⅳ Collateralized Mortgage Obligations = 406
  Section Ⅴ Stripped Mortgage-Backed Securities = 426
  Section Ⅵ Nonagency Mortgage-Backed Securities = 428
  Section Ⅶ Key Points = 429
  End of Chapter Questions = 432
  Solutions to End of Chapter Questions = 439
 Chapter 4 Asset-Backed Securities = 449
  Section Ⅰ Introduction = 450
  Section Ⅱ Features of an ABS = 450
  Section Ⅲ Home Equity Loans = 457
  Section Ⅳ Manufactured Housing-Backed Securities = 461
  Section Ⅴ Auto Loan-Backed Securities = 462
  Section Ⅵ Student Loan-Backed Securities = 464
  Section Ⅶ SBA Loan-Backed Securities = 465
  Section Ⅷ Credit Card Receivable-Backed Securities = 466
  Section Ⅸ Collateralized Bond Obligations = 468
  Section Ⅹ Key Points = 472
  End of Chapter Questions = 477
  Solutions to End of Chapter Questions = 482
  Solutions to Practice Questions = 489
 Chapter 5 Valuing Mortgage-Backed and Asset-Backed Securities = 491
  Section Ⅰ Introduction = 492
  Section Ⅱ Cash Flow Yield Analysis = 492
  Section Ⅲ Zero-Volatility Spread = 494
  Section Ⅳ Monte Carlo Simulation Model and OAS = 494
  Section Ⅴ Measuring Interest Rate Risk = 506
  Section Ⅵ Valuing Asset-Backed Securities = 513
  Section Ⅶ Valuing Any Security = 514
  Section Ⅷ Key Points = 514
  End of Chapter Questions = 517
  Solutions to End of Chapter Questions = 522
 Chapter 6 A Framework for Assessing Trading Strategies = 529
  Section Ⅰ Introduction = 530
  Section Ⅱ The Principle of Leverage = 530
  Section Ⅲ Borrowing Funds via Repurchase Agreements = 533
  Section Ⅳ Total Return = 537
  Section Ⅴ Controlling for Interest Rate Risk = 543
  Section Ⅵ An Illustration = 544
  Section Ⅶ Key Points = 547
  End of Chapter Questions = 550
  Solutions to End of Chapter Questions = 555
  Solutions to Practice Questions = 562
 Chapter 7 Interest Rate Derivative Instruments = 563
  Section Ⅰ Introduction = 564
  Section Ⅱ Interest Rate Futures = 564
  Section Ⅲ Interest Rate Options = 573
  Section Ⅳ Interest Rate Swaps = 578
  Section Ⅴ Interest Rate Caps and Floors = 584
  Section Ⅵ Key Points = 586
  End of Chapter Questions = 589
  Solutions to End of Chapter Questions = 593
  Solutions to Practice Questions = 599
 Chapter 8 Valuation of Interest Rate Derivative Instruments = 601
  Section Ⅰ Introduction = 602
  Section Ⅱ Interest Rate Futures Contracts = 602
  Section Ⅲ Interest Rate Swaps = 608
  Section Ⅳ Options = 620
  Section Ⅴ Caps and Floors = 632
  Section Ⅵ Key Points = 636
  End of Chapter Questions = 639
  Solutions to End of Chapter Questions = 645
  Solutions to Practice Questions = 655
 Chapter 9 General Principles of Credit Analysis = 663
  Section Ⅰ Introduction = 664
  Section Ⅱ Credit Risk and the Need for Credit Analysis = 664
  Section Ⅲ Elements of Corporate Credit Analysis = 665
  Section Ⅳ Analysis of an Issuer's Character = 665
  Section Ⅴ Analysis of the Capacity to Pay = 666
  Section Ⅵ Analysis of Collateral = 672
  Section Ⅶ Analysis of Covenants = 673
  Section Ⅷ Special Considerations for High-Yield Corporate Bonds = 674
  Section Ⅸ Credit Analysis of Non-Corporate Bonds = 678
  Section Ⅹ Key Points = 689
  Appendix Case Study Bergen Brunswig Corporation = 692
   Section Ⅰ Background Information = 692
   Section Ⅱ Analysis = 692
   Section Ⅲ Conclusion = 695
  End of Chapter Questions = 697
  Solutions to End of Chapter Questions = 701
Index = 707


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