The Handbook of
Fixed Income Securities

Now in its seventh edition, this is the standard handbook on fixed income securities. Everyone has a copy—at least everyone involved in the fixed income markets. You can almost tell how long people have been in the business by what edition they have on their shelf.

 

The book is an edited collection, but editor Fabozzi helped author about half of the fifty-eight chapters. The book is divided into eight parts:

1. Background

2. Government and Private Debt Obligations

3. Credit Analysis

4. Mortgage-Backed and Asset-Backed Securities

5. Fixed Income Analytics and Modeling

6. Portfolio Management

7. Equity-Linked Securities and Their Valuation

8. Derivative Instruments and their Portfolio Management Applications

Breadth of coverage is astonishing. The book is an excellent reference. Have a question about option-adjusted spread analysis or convertible bonds? How about credit analysis or immunization? It is all covered in detail. The only topic that is noticeably absent is collateralized debt obligations, but these are a fairly recent development.

The book is not overly technical, targeting primarily buy-side or entry-level sell-side professionals. However, basic formulas for pricing, interest rates and yield calculations are detailed.

Great literature this is not—even by the standards of financial publishing. As a practical introduction and reference, it is indispensable. If you are new to fixed income markets, this should be the first book you read. [Review based on the 6th edition.]

Contents

1. Overview of the Types and Features of Fixed Income Securities

2. Risks Associated with Investing in Fixed Income Securities

3. A Review of the Time Value of Money

4. Bond Pricing and Return Measures

5. Price Volatility Characteristics of Fixed Income Securities

6. The Structure of Interest Rates

7. Treasury and Agency Securities

8. Municipal Bonds

9. Private Money Market Instruments

10. Corporate Bonds

11. Medium-Term Notes

12. Domestic Floating-Rate and Adjustable-Rate Debt Securities

13. Nonconvertible Preferred Stock

14. Convertible Securities

15. The High-Yield Corporate Bond Market

16. Eurocapital Markets

17. Stable Value Investments

18. Credit Analysis for Corporate Bonds

19. Credit Considerations in Evaluating High-Yield Bonds

20. Investing in Chapter 11 and Other Distressed Companies

21. Guidelines in the Credit Analysis of General Obligation and Revenue Municipal Bonds

22. Sovereign Risk from a Corporate Bond Analyst Perspective

23. Mortgages

24. Mortgage Pass-Through Securities

25. Collateralized Mortgage Obligations

26. Asset-Backed Securities

27. Evaluating Credit Risk of Asset-Backed Securities

28. Valuation of Bonds with Embedded Options

29. Option-Adjusted Spread Analysis

30. OAS and Effective Duration

31. New Duration Measures for Risk Management

32. Interest-Rate Risk Models Used in the Banking and Thrift Industries

33. Risk Measures for Foreign Bonds

34. Fixed Income Risk Modeling

35. Valuation and Risk Analysis of International Bonds

36. Valuation and Analysis of Convertible Securities

37. The Term Structure of Interest Rates

38. Bond Management: Past, Current, and Future

39. The Active Decisions in the Selection of Passive Management and Performance Bogeys

40. A Sponsor's View of Benchmark Portfolios

41. Indexing Fixed Income Assets

42. Bond Immunization: An Asset/Liability Optimization Strategy

43. Dedicated Bond Portfolios

44. Beyond Cash Matching

45. Improving Insurance Company Portfolio Returns

46. Asset/Liability Management for Property/Casualty Insurers

47. The Management of High-Yield Bond Portfolios

48. International Bond Investing and Portfolio Management

49. International Fixed Income Investing: Theory and Practice

50. Introduction to Interest-Rate Futures and Options Contracts

51. Pricing Futures and Portfolio Applications

52. Treasury Bond Futures Mechanics and Basis Valuation

53. The Basics of Interest-Rate Options

54. An Overview of Fixed Income Option Models

55. Hedging with Futures and Options

56. Interest-Rate Swaps

57. Interest-Rate Caps and Floors and Compound Options

58. Forecasting Interest Rates
 

 

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