This revised edition will provide the only comprehensive coverage of all sectors of the fixed income securities market. In addition, related topics, i.e. valuation, yield and spread measurement, collateralized borrowing, and fixed income portfolio strategies, will be reviewed in context.
Book Details:
- Author: Frank J. Fabozzi
- ISBN: 9780470304020
- Year Published: 2002
- Pages: 480
- BISAC: BUS036000, BUSINESS & ECONOMICS/Investments & Securities / General
About the Book and Topic:
This revised edition will provide the only comprehensive coverage of all sectors of the fixed income securities market. In addition, related topics, i.e. valuation, yield and spread measurement, collateralized borrowing, and fixed income portfolio strategies, will be reviewed in context.
While there are several books published on various aspects of the fixed income market, none offers a detailed account of the features and investment characteristics of all fixed income sectors. Fabozzi has edited the closest competitor, but the market is ripe for a sole-authored definitive tome.
ONLY SOLE-AUTHORED COMPREHENSIVE BOOK AVAILABLE. The book combines all the various aspects of the fixed income market from valuation, the interest rates of risk measurement, portfolio factors, and qualities of individuals sectors into an encompassing text with one cohesive voice. CONSIDERABLE COVERAGE OF STRUCTURED FINANCIAL PRODUCTS. The author will also tackle such issues as agency and nonagency mortgage-backed securities, asset-backed securities, commercial mortgage-backed securities, and collateralized debt obligations. INVESTIGATES COLLATERALIZED BORROWING AND THE TAXATION OF BOND TRANSACTIONS. He wishes to focus on how repurchase agreements, dollar rolls, margin buying, securities lending, and bond transaction taxes affect the fixed income securities market. SPECIAL CHAPTER DEVOTED TO YIELD MEASURES AND SPREAD MEASURES. The text will examine yield to maturity, various yield to call measures, yield to put, yield to worst, and cash flow yield in the marketplace. Included also are spread measures – the nominal spread, zero-volatility spread, option-adjusted spread, spread for life, and discount margins. STUDIES DURATION in the fixed income securities market in relation to interest rate risk. Among the durations examined are modified duration, effective duration, contribution to duration, spread duration, portfolio duration, and convexity.
About the Author
FRANK J. FABOZZI, PhD, CFP, CPA, is Editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University’s School of Management. Dr. Fabozzi is on the board of directors of the Guardian Life family of funds and the BlackRock complex of funds. He earned a doctorate in economics from the City University of New York in 1972 and, in 1994, received an honorary doctorate of humane letters from Nova Southeastern University. Dr. Fabozzi is a Fellow of the International Center for Finance at Yale University.