Investors in corporate bonds are exposed to a variety of risks, including interest rate risk, credit risk, liquidity risk, industry risk, cyclical risk, and company-specific event risk. As compensation for these and other risks, investors demand that corporate bond portfolios have higher expected returns than bond portfolios with lower risks. Leland Crabbe and Frank Fabozzi provide expert advice for managing these risks faced by corporate bond portfolio managers and provide in-depth coverage of all the pertinent issues, including measuring interest rate risk, yield volatility, spread volatility, corporate yield ratios, trading costs, corporate spread strategies, credit analysis, valuation of bonds with embedded options, subordinated bonds, and convertible bonds, the role of putable bonds in corporate bond portfolios, and much more. Managing a Corporate Bond Portfolio presents the essential elements of corporate bond portfolio management in 18 chapters, which are divided into four major sections. Section I gives an introduction to corporate bonds; Section II discusses corporate bond valuation and price dynamics; Section III focuses on corporate credit risk; and Section IV discusses redemption analysis.
Book Details:
- Author: Leland E. Crabbe
- ISBN: 9780470303085
- Year Published: 2002
- Pages: 336
- BISAC: BUS027000, BUSINESS & ECONOMICS/Finance
About the Book and Topic:
Investors in corporate bonds are exposed to a variety of risks, including interest rate risk, credit risk, liquidity risk, industry risk, cyclical risk, and company-specific event risk. As compensation for these and other risks, investors demand that corporate bond portfolios have higher expected returns than bond portfolios with lower risks. Leland Crabbe and Frank Fabozzi provide expert advice for managing these risks faced by corporate bond portfolio managers and provide in-depth coverage of all the pertinent issues, including measuring interest rate risk, yield volatility, spread volatility, corporate yield ratios, trading costs, corporate spread strategies, credit analysis, valuation of bonds with embedded options, subordinated bonds, and convertible bonds, the role of putable bonds in corporate bond portfolios, and much more. Managing a Corporate Bond Portfolio presents the essential elements of corporate bond portfolio management in 18 chapters, which are divided into four major sections. Section I gives an introduction to corporate bonds; Section II discusses corporate bond valuation and price dynamics; Section III focuses on corporate credit risk; and Section IV discusses redemption analysis.
Managing a Corporate Bond Portfolio fills the need for a comprehensive book on corporate bond portfolio management in finance publishing.
* Develops a framework to assess the key risks in the corporate bond market, such as credit risk, interest rate risk, and redemption risk. * Covers the key features of corporate bonds. * Discusses trading, yield curve, and sector strategies. * Provides state-of-the-art analytical tools to enhance returns and control risk.
About the Author
LELAND E. CRABBE is a fixed income portfolio manager at Credit Suisse Asset Management in New York and global head of emerging market debt. He received his PhD in economics from the University of California at Los Angeles in 1988. Subsequent to that, he worked for the Federal Reserve Board in Washington, DC, as an economist in the capital market section, focusing on corporate bond and high yield research. From 1994 to 1998, he worked at Merrill Lynch in various capacities: in research as Merrill’s Corporate Bond Strategist; in corporate bond syndicate as a developer of structured corporate bonds; and in emerging market bond trading. 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.