The Handbook of Fixed Income Securities by Frank Fabozzi

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Contents of Fixed Income Securities Handbook

PART ONE: BACKGROUND

• Chapter 1. Overview of the Types and Features of Fixed Income Securities
• Chapter 2. Risks Associated with Investing in Fixed Income Securities
• Chapter 3. Bond Market Indexes
• Chapter 4. Electronic Trading for Fixed Income Markets
• Chapter 5. Macro-Economic Dynamics and the Corporate Bond Market
• Chapter 6. Bond Pricing, Yield Measures, and Total Return
• Chapter 7. Measuring Interest-Rate Risk
• Chapter 8. The Structure of Interest Rates

PART TWO: GOVERNMENT SECURITIES AND CORPORATE DEBT OBLIGATIONS

• Chapter 9. U.S. Treasury Securities
• Chapter 10. Agency Debt Securities
• Chapter 11. Municipal Bonds
• Chapter 12. Corporate Bonds
• Chapter 13. Leveraged Loans
• Chapter 14. Convertible Securities and Their Investment Application
• Chapter 15. Structured Notes and Credit-Linked Notes
• Chapter 16. Private Money Market Instruments
• Chapter 17. Floating-Rate Securities
• Chapter 18. Inflation-Linked Bonds
• Chapter 19. International Bond Markets and Instruments
• Chapter 20. Emerging Markets Debt
• Chapter 21. Fixed Income Exchange Traded Funds
• Chapter 22. Covered Bonds
• Chapter 23. Nonconvertible Preferred Stock

PART THREE: SECURITIZED PRODUCTS

• Chapter 24. An Overview of Mortgages and the Mortgage Market
• Chapter 25. Agency Mortgage-Backed Securities
• Chapter 26. Agency Collateralized Mortgage Obligations
• Chapter 27. The Effect ofAgency CMO PAC Bond Features on Performance
• Chapter 28. Agency CMO Z-Bonds
• Chapter 29. Support Bonds with Schedules in Agency CMO Deals
• Chapter 30. Stripped Mortgage-Backed Securities
• Chapter 31. Nonagency Residential Mortgage-Backed Securities
• Chapter 32. Commercial Mortgage-Backed Securities
• Chapter 33. Credit Card Asset-Backed Securities
• Chapter 34. Securities Backed by Auto Loans and Leases, Equipment Loans and Leases, and Student Loans
• Chapter 35. Collateralized Loan Obligations

PART FOUR: TERM STRUCTURE OF INTEREST RATES

• Chapter 36. Overview of Forward Rate Analysis
• Chapter 37. A Framework for Analyzing Yield-Curve Trades
• Chapter 38. Empirical Yield-Curve Dynamics and Yield-Curve Exposure
• Chapter 39. Term Structure Modeling with No-Arbitrage Interest Rate Models

PART FIVE: VALUATION MODELING

• Chapter 40. Valuation of Bonds with Embedded Options
• Chapter 41. Valuation of Agency Mortgage-Backed Securities
• Chapter 42. Convertible Securities: Their Structures, Valuation, and Trading

PART SIX: CREDIT RISK

• Chapter 43. Credit Analysis for Corporate Bonds
• Chapter 44. The Credit Analysis of Municipal General Obligation and Revenue Bonds
• Chapter 45. Credit-Risk Modeling

PART SEVEN: MULTIFACTOR RISK MODELS

• Chapter 46. Introduction to Multifactor Risk Models in Fixed Income and Their Applications
• Chapter 47. Analyzing Risk from Multifactor Fixed Income Models
• Chapter 48. Hedging Interest-Rate Risk with Term-Structure Factor Models

PART EIGHT: BOND PORTFOLIO MANAGEMENT

• Chapter 49. Introduction to Bond Portfolio Management
• Chapter 50. Quantitative Management of Benchmarked Portfolios
• Chapter 51. Global Credit Bond Portfolio Management
• Chapter 52. Elements of Managing a High-Yield Bond Portfolio
• Chapter 53. International Bond Portfolio Management
• Chapter 54. Fixed Income Transition Management
• Chapter 55. Managing the Spread Risk of Credit Portfolios Using the Duration Times Spread Measure
• Chapter 56. Investing in Distressed Structured Credit Securities
• Chapter 57. Hedge Fund Fixed Income Strategies
• Chapter 58. Financing Positions in the Bond Market

PART NINE: DERIVATIVES

• Chapter 59. Introduction to Interest-Rate Futures and Options Contracts
• Chapter 60. Pricing Futures and Portfolio Applications
• Chapter 61. Controlling Interest-Rate Risk with Futures and Options
• Chapter 62. Interest-Rate Swaps and Swaptions
• Chapter 63. The Valuation of Interest-Rate Swaps and Swaptions
• Chapter 64. The Basics of Interest-Rate Options
• Chapter 65. Interest-Rate Caps and Floors
• Chapter 66. Credit Derivatives
• Chapter 67. Credit Derivative Valuation and Risk
• Chapter 68. Hedging Tail Risk

PART TEN: PERFORMANCE EVALUATION AND RETURN ATTRIBUTION ANALYSIS

• Chapter 69. Principles of Performance Attribution
• Chapter 70. Performance Attribution for Portfolios of Fixed Income Securities
• Chapter 71. Advanced Topics in Performance Attribution

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