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By Frank J. Fabozzi
From the interior Flap
To stay a aggressive mounted source of revenue investor, either pro execs and beginners needs to not sleep so far and familiar with this continuously evolving field.
Nobody is aware this greater than fastened source of revenue specialists Frank Fabozzi and Steven Mann. And now, with the revised and up to date creation to fastened source of revenue Analytics, moment variation, they supply whole insurance of crucial matters during this region. Following within the footsteps of the preferred first version, this trustworthy source skillfully information the most important analytical innovations utilized in the mounted source of revenue marketplace and illustrates how they're computed.
This publication addresses every thing from the valuation of mounted source of revenue securities with embedded strategies to the good points of established products—such as mortgage-backed securities and asset-backed securities—while additionally providing insights on easy rules just like the time worth of cash. up to date to mirror present marketplace developments, creation to fastened source of revenue Analytics, moment version may also help training funding execs make investments correctly during this new period, in addition to help these intending to input the sector. alongside the way in which, this functional guide:
Outlines techniques to bond valuation in line with the discounted funds stream framework in addition to relative price analysis
Ties in analytical thoughts with what's to be had at the Bloomberg Terminal and walks you thru proper Bloomberg functions
Explains an outstanding metric for quantifying a portfolio’s threat publicity: conditional value-at-risk (VaR)
Describes a number of the matters linked to rate of interest swaps—from counterparties and risk-return profile to fiscal interpretation—and illustrates tips to worth them
Each bankruptcy comprises end-of-chapter questions so readers can try out their wisdom of the innovations mentioned in addition to refine any computational talents had to succeed.
Understanding mounted source of revenue analytics is key in today’s dynamic monetary atmosphere. the second one version of creation to mounted source of revenue Analytics can assist you construct an excellent starting place during this field.
From the again Cover
With the second one variation of creation to fastened source of revenue Analytics, Frank Fabozzi and Steven Mann go back with a completely up to date advisor to the self-discipline of mounted source of revenue research. Written for either monetary pros and glued source of revenue novices, this crucial source rigorously covers the an important components of today’s complicated bond marketplace—from many of the concerns linked to making an investment in fastened source of revenue securities to the basics of valuation and rate of interest risk.
Fabozzi and Mann provide priceless fastened source of revenue insights, with discussions of relative price research and value-at-risk measures; research of mortgage-backed and asset-backed securities, convertible fastened source of revenue securities, and volatility estimation; and knowledge on tools like Treasury inflation-protected securities (TIPS). in addition they spotlight essentially the most renowned platforms relied upon by way of fastened source of revenue professionals—the Bloomberg Terminal—and tie in vital analytics and functionality.
The fastened source of revenue marketplace is without doubt one of the greatest on the earth. It spans many sectors, from Treasuries to mortgages to excessive yield bonds. a good way to achieve a company realizing of the instruments and strategies had to reach this box, glance no extra than creation to fastened source of revenue Analytics, moment version.
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Additional info for Introduction to Fixed Income Analytics, Relative Value Analysis, Risk Measures and Valuation
Example text
Fabozzi Interest Rate, Term Structure, and Valuation Modeling edited by Frank J. Fabozzi Investment Performance Measurement by Bruce J. Feibel The Handbook of Equity Style Management edited by T. Daniel Coggin and Frank J. Fabozzi The Theory and Practice of Investment Management edited by Frank J. Fabozzi and Harry M. Markowitz Foundations of Economic Value Added, Second Edition by James L. Grant Financial Management and Analysis, Second Edition by Frank J. Fabozzi and Pamela P. Peterson Measuring and Controlling Interest Rate and Credit Risk, Second Edition by Frank J.
As an illustration of this process, consider a 4-year 9% coupon bond with a $1,000 maturity value. Assume, for simplicity, the bond delivers coupon interest payments annually. 07777. Since the process of discounting cash flows with multiple interest rates is so important to our work in later chapters, let’s work through another example. We demonstrate how to find the present value of the fixed rate payments in an interest rate swap. As explained in Chapter 13, in an interest rate swap, two counterparties agree to exchange periodic interest payments.
Goodman and Frank J. Fabozzi Interest Rate, Term Structure, and Valuation Modeling edited by Frank J. Fabozzi Investment Performance Measurement by Bruce J. Feibel The Handbook of Equity Style Management edited by T. Daniel Coggin and Frank J. Fabozzi The Theory and Practice of Investment Management edited by Frank J. Fabozzi and Harry M. Markowitz Foundations of Economic Value Added, Second Edition by James L. Grant Financial Management and Analysis, Second Edition by Frank J. Fabozzi and Pamela P.