Introduction to Fixed Income Analytics: Relative Value Analysis, Risk Measures and Valuation - Hardcover >
/ Introduction to Fixed Income Analytics: Relative Value Analysis, Risk Measures and Valuation - Hardcover

Introduction to Fixed Income Analytics: Relative Value Analysis, Risk Measures and Valuation - Hardcover

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by Frank J. Fabozzi (Author), Steven V. Mann (Author)

A comprehensive introduction to the key concepts of fixed income analytics

The First Edition of Introduction to Fixed Income Analytics skillfully covered the fundamentals of this discipline and was the first book to feature Bloomberg screens in examples and illustrations. Since publication over eight years ago, the markets have experienced cathartic change.

That's why authors Frank Fabozzi and Steven Mann have returned with a fully updated Second Edition. This reliable resource reflects current economic conditions, and offers additional chapters on relative value analysis, value-at-risk measures and information on instruments like TIPS (treasury inflation protected securities).

  • Offers insights into value-at-risk, relative value measures, convertible bond analysis, and much more
  • Includes updated charts and descriptions using Bloomberg screens
  • Covers important analytical concepts used by portfolio managers

Understanding fixed-income analytics is essential in today's dynamic financial environment. The Second Edition of Introduction to Fixed Income Analytics will help you build a solid foundation in this field.

Front Jacket

To remain a competitive fixed income investor, both seasoned professionals and newcomers must stay up to date and knowledgeable about this continually evolving field.

Nobody understands this better than fixed income experts Frank Fabozzi and Steven Mann. And now, with the revised and updated Introduction to Fixed Income Analytics, Second Edition, they provide complete coverage of the most important issues in this area. Following in the footsteps of the popular first edition, this reliable resource skillfully details the key analytical concepts used in the fixed income market and illustrates how they are computed.

This book addresses everything from the valuation of fixed income securities with embedded options to the features of structured products--such as mortgage-backed securities and asset-backed securities--while also offering insights on basic principles like the time value of money. Updated to reflect current market trends, Introduction to Fixed Income Analytics, Second Edition will help practicing investment professionals invest wisely in this new era, as well as assist those aspiring to enter the field. Along the way, this practical guide:

  • Outlines approaches to bond valuation based on the discounted cash flow framework as well as relative value analysis

  • Ties in analytical concepts with what is available on the Bloomberg Terminal and walks you through relevant Bloomberg functions

  • Explains a superior metric for quantifying a portfolio's risk exposure: conditional value-at-risk (VaR)

  • Describes the various issues associated with interest rate swaps--from counterparties and risk-return profile to economic interpretation--and illustrates how to value them

Each chapter includes end-of-chapter questions so readers can test their knowledge of the concepts discussed as well as refine any computational skills needed to succeed.

Understanding fixed income analytics is essential in today's dynamic financial environment. The Second Edition of Introduction to Fixed Income Analytics will help you build a solid foundation in this field.

Back Jacket

To remain a competitive fixed income investor, both seasoned professionals and newcomers must stay up to date and knowledgeable about this continually evolving field.

Nobody understands this better than fixed income experts Frank Fabozzi and Steven Mann. And now, with the revised and updated Introduction to Fixed Income Analytics, Second Edition, they provide complete coverage of the most important issues in this area. Following in the footsteps of the popular first edition, this reliable resource skillfully details the key analytical concepts used in the fixed income market and illustrates how they are computed.

This book addresses everything from the valuation of fixed income securities with embedded options to the features of structured products--such as mortgage-backed securities and asset-backed securities--while also offering insights on basic principles like the time value of money. Updated to reflect current market trends, Introduction to Fixed Income Analytics, Second Edition will help practicing investment professionals invest wisely in this new era, as well as assist those aspiring to enter the field. Along the way, this practical guide:

  • Outlines approaches to bond valuation based on the discounted cash flow framework as well as relative value analysis
  • Ties in analytical concepts with what is available on the Bloomberg Terminal and walks you through relevant Bloomberg functions
  • Explains a superior metric for quantifying a portfolio's risk exposure: conditional value-at-risk (VaR)
  • Describes the various issues associated with interest rate swaps--from counterparties and risk-return profile to economic interpretation--and illustrates how to value them

Each chapter includes end-of-chapter questions so readers can test their knowledge of the concepts discussed as well as refine any computational skills needed to succeed.

Understanding fixed income analytics is essential in today's dynamic financial environment. The Second Edition of Introduction to Fixed Income Analytics will help you build a solid foundation in this field.

Author Biography

FRANK J. FABOZZI, PHD, CFA, CPA, is Professor in the Practice of Finance and Becton Fellow at the Yale School of Management and Editor of the Journal of Portfolio Management. He is an Affiliated Professor at the University of Karlsruhe's Institute of Statistics, Econometrics, and Mathematical Finance and on the Advisory Council for the Department of Operations Research and Financial Engineering at Princeton University.

STEVEN V. MANN, PHD, is Professor of Finance at the Moore School of Business, University of South Carolina. He has published over seventy articles in finance journals and many books on fixed income and derivatives topics, including The Global Money Markets, Measuring and Controlling Interest Rate and Credit Risk, Securities Finance (as a coeditor), and The Handbook of Fixed Income Securities (as an assistant editor). Mann is an active consultant to clients that include some of the largest investment/commercial banks in the world as well as a number of Fortune 500 companies.

Number of Pages: 496
Dimensions: 1.49 x 9.27 x 6.44 IN
Publication Date: October 12, 2010
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