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Fixed income analysis.pdf

Fixed income analysis.pdf

上传者: nwguru 2012-12-16 评分 0 0 0 0 0 0 暂无简介 简介 举报

简介:本文档为《Fixed income analysispdf》,可适用于经济金融领域,主题内容包含FIXEDINCOMEANALYSISSecondEditionFrankJFabozzi,PhD,CFA,CPAwithcontributions符等。

FIXEDINCOMEANALYSISSecondEditionFrankJFabozzi,PhD,CFA,CPAwithcontributionsfromMarkJPAnson,PhD,CFA,CPA,EsqKennethBDunn,PhDJHankLynch,CFAJackMalvey,CFAMarkPitts,PhDShrikantRamamurthyRobertoMSellaChristopherBSteward,CFAJohnWileySons,IncFileAttachmentCjpgFIXEDINCOMEANALYSISCFAInstituteisthepremierassociationforinvestmentprofessionalsaroundtheworld,withover,membersincountriesSincetheorganizationhasdevelopedandadministeredtherenownedCharteredFinancialAnalystProgramWitharichhistoryofleadingtheinvestmentprofession,CFAInstitutehassetthehigheststandardsinethics,education,andprofessionalexcellencewithintheglobalinvestmentcommunity,andistheforemostauthorityoninvestmentprofessionconductandpracticeEachbookintheCFAInstituteInvestmentSeriesisgearedtowardindustrypractitionersalongwithgraduatelevelfinancestudentsandcoversthemostimportanttopicsintheindustryTheauthorsofthesecuttingedgebooksarethemselvesindustryprofessionalsandacademicsandbringtheirwealthofknowledgeandexpertisetothisseriesFIXEDINCOMEANALYSISSecondEditionFrankJFabozzi,PhD,CFA,CPAwithcontributionsfromMarkJPAnson,PhD,CFA,CPA,EsqKennethBDunn,PhDJHankLynch,CFAJackMalvey,CFAMarkPitts,PhDShrikantRamamurthyRobertoMSellaChristopherBSteward,CFAJohnWileySons,IncCopyrightc,byCFAInstituteAllrightsreservedPublishedbyJohnWileySons,Inc,Hoboken,NewJerseyPublishedsimultaneouslyinCanadaNopartofthispublicationmaybereproduced,storedinaretrievalsystem,ortransmittedinanyformorbyanymeans,electronic,mechanical,photocopying,recording,scanning,orotherwise,exceptaspermittedunderSectionoroftheUnitedStatesCopyrightAct,withouteitherthepriorwrittenpermissionofthePublisher,orauthorizationthroughpaymentoftheappropriatepercopyfeetotheCopyrightClearanceCenter,Inc,RosewoodDrive,Danvers,MA,(),fax(),orontheWebatwwwcopyrightcomRequeststothePublisherforpermissionshouldbeaddressedtothePermissionsDepartment,JohnWileySons,Inc,RiverStreet,Hoboken,NJ,(),fax(),oronlineathttp:wwwwileycomgopermissionsLimitofLiabilityDisclaimerofWarranty:Whilethepublisherandauthorhaveusedtheirbesteffortsinpreparingthisbook,theymakenorepresentationsorwarrantieswithrespecttotheaccuracyorcompletenessofthecontentsofthisbookandspecificallydisclaimanyimpliedwarrantiesofmerchantabilityorfitnessforaparticularpurposeNowarrantymaybecreatedorextendedbysalesrepresentativesorwrittensalesmaterialsTheadviceandstrategiescontainedhereinmaynotbesuitableforyoursituationYoushouldconsultwithaprofessionalwhereappropriateNeitherthepublishernorauthorshallbeliableforanylossofprofitoranyothercommercialdamages,includingbutnotlimitedtospecial,incidental,consequential,orotherdamagesForgeneralinformationonourotherproductsandservicesorfortechnicalsupport,pleasecontactourCustomerCareDepartmentwithintheUnitedStatesat(),outsidetheUnitedStatesat()orfax()WileyalsopublishesitsbooksinavarietyofelectronicformatsSomecontentthatappearsinprintmaynotbeavailableinelectronicformatsFormoreinformationaboutWileyproducts,visitourWebsiteatwwwwileycomLibraryofCongressCataloginginPublicationData:Fabozzi,FrankJFixedincomeanalysisFrankJFabozzindedpcm(CFAInstituteinvestmentseries)Originallypublishedas:FixedincomeanalysisforthecharteredfinancialanalystprogramNewHope,Pa:FJFabozziAssociates,cIncludesindexISBN:(cloth)ISBN:X(cloth)FixedincomesecuritiesIFabozzi,FrankJFixedincomeanalysisforthecharteredfinancialanalystprogramIITitleHGF’dcPrintedintheUnitedStatesofAmericaCONTENTSForewordxiiiAcknowledgmentsxviiIntroductionxxiNoteonRoundingDifferencesxxviiCHAPTERFeaturesofDebtSecuritiesIIntroductionIIIndentureandCovenantsIIIMaturityIVParValueVCouponRateVIProvisionsforPayingOffBondsVIIConversionPrivilegeVIIIPutProvisionIXCurrencyDenominationXEmbeddedOptionsXIBorrowingFundstoPurchaseBondsCHAPTERRisksAssociatedwithInvestinginBondsIIntroductionIIInterestRateRiskIIIYieldCurveRiskIVCallandPrepaymentRiskVReinvestmentRiskVICreditRiskVIILiquidityRiskVIIIExchangeRateorCurrencyRiskIXInflationorPurchasingPowerRiskXVolatilityRiskvviContentsXIEventRiskXIISovereignRiskCHAPTEROverviewofBondSectorsandInstrumentsIIntroductionIISectorsoftheBondMarketIIISovereignBondsIVSemiGovernmentAgencyBondsVStateandLocalGovernmentsVICorporateDebtSecuritiesVIIAssetBackedSecuritiesVIIICollateralizedDebtObligationsIXPrimaryMarketandSecondaryMarketforBondsCHAPTERUnderstandingYieldSpreadsIIntroductionIIInterestRateDeterminationIIIUSTreasuryRatesIVYieldsonNonTreasurySecuritiesVNonUSInterestRatesVISwapSpreadsCHAPTERIntroductiontotheValuationofDebtSecuritiesIIntroductionIIGeneralPrinciplesofValuationIIITraditionalApproachtoValuationIVTheArbitrageFreeValuationApproachVValuationModelsCHAPTERYieldMeasures,SpotRates,andForwardRatesIIntroductionIISourcesofReturnIIITraditionalYieldMeasuresIVTheoreticalSpotRatesVForwardRatesCHAPTERIntroductiontotheMeasurementofInterestRateRiskIIntroductionIITheFullValuationApproachContentsviiIIIPriceVolatilityCharacteristicsofBondsIVDurationVConvexityAdjustmentVIPriceValueofaBasisPointVIITheImportanceofYieldVolatilityCHAPTERTermStructureandVolatilityofInterestRatesIIntroductionIIHistoricalLookattheTreasuryYieldCurveIIITreasuryReturnsResultingfromYieldCurveMovementsIVConstructingtheTheoreticalSpotRateCurveforTreasuriesVTheSwapCurve(LIBORCurve)VIExpectationsTheoriesoftheTermStructureofInterestRatesVIIMeasuringYieldCurveRiskVIIIYieldVolatilityandMeasurementCHAPTERValuingBondswithEmbeddedOptionsIIntroductionIIElementsofaBondValuationModelIIIOverviewoftheBondValuationProcessIVReviewofHowtoValueanOptionFreeBondVValuingaBondwithanEmbeddedOptionUsingtheBinomialModelVIValuingandAnalyzingaCallableBondVIIValuingaPutableBondVIIIValuingaStepUpCallableNoteIXValuingaCappedFloaterXAnalysisofConvertibleBondsCHAPTERMortgageBackedSectoroftheBondMarketIIntroductionIIResidentialMortgageLoansIIIMortgagePassthroughSecuritiesIVCollateralizedMortgageObligationsVStrippedMortgageBackedSecuritiesVINonagencyResidentialMortgageBackedSecuritiesVIICommercialMortgageBackedSecuritiesCHAPTERAssetBackedSectoroftheBondMarketIIntroductionIITheSecuritizationProcessandFeaturesofABSviiiContentsIIIHomeEquityLoansIVManufacturedHousingBackedSecuritiesVResidentialMBSOutsidetheUnitedStatesVIAutoLoanBackedSecuritiesVIIStudentLoanBackedSecuritiesVIIISBALoanBackedSecuritiesIXCreditCardReceivableBackedSecuritiesXCollateralizedDebtObligationsCHAPTERValuingMortgageBackedandAssetBackedSecuritiesIIntroductionIICashFlowYieldAnalysisIIIZeroVolatilitySpreadIVMonteCarloSimulationModelandOASVMeasuringInterestRateRiskVIValuingAssetBackedSecuritiesVIIValuingAnySecurityCHAPTERInterestRateDerivativeInstrumentsIIntroductionIIInterestRateFuturesIIIInterestRateOptionsIVInterestRateSwapsVInterestRateCapsandFloorsCHAPTERValuationofInterestRateDerivativeInstrumentsIIntroductionIIInterestRateFuturesContractsIIIInterestRateSwapsIVOptionsVCapsandFloorsCHAPTERGeneralPrinciplesofCreditAnalysisIIntroductionIICreditRatingsIIITraditionalCreditAnalysisIVCreditScoringModelsVCreditRiskModelsAppendix:CaseStudyContentsixCHAPTERIntroductiontoBondPortfolioManagementIIntroductionIISettingInvestmentObjectivesforFixedIncomeInvestorsIIIDevelopingandImplementingaPortfolioStrategyIVMonitoringthePortfolioVAdjustingthePortfolioCHAPTERMeasuringaPortfolio’sRiskProfileIIntroductionIIReviewofStandardDeviationandDownsideRiskMeasuresIIITrackingErrorIVMeasuringaPortfolio’sInterestRateRiskVMeasuringYieldCurveRiskVISpreadRiskVIICreditRiskVIIIOptionalityRiskforNonMBSIXRisksofInvestinginMortgageBackedSecuritiesXMultiFactorRiskModelsCHAPTERManagingFundsagainstaBondMarketIndexIIntroductionIIDegreesofActiveManagementIIIStrategiesIVScenarioAnalysisforAssessingPotentialPerformanceVUsingMultiFactorRiskModelsinPortfolioConstructionVIPerformanceEvaluationVIILeveragingStrategiesCHAPTERPortfolioImmunizationandCashFlowMatchingIIntroductionIIImmunizationStrategyforaSingleLiabilityIIIContingentImmunizationIVImmunizationforMultipleLiabilitiesVCashFlowMatchingforMultipleLiabilitiesCHAPTERRelativeValueMethodologiesforGlobalCreditBondPortfolioManagement(byJackMalvey)IIntroductionIICreditRelativeValueAnalysisxContentsIIITotalReturnAnalysisIVPrimaryMarketAnalysisVLiquidityandTradingAnalysisVISecondaryTradeRationalesVIISpreadAnalysisVIIIStructuralAnalysisIXCreditCurveAnalysisXCreditAnalysisXIAssetAllocationSectorRotationCHAPTERInternationalBondPortfolioManagement(byChristopherBSteward,JHankLynch,andFrankJFabozzi)IIntroductionIIInvestmentObjectivesandPolicyStatementsIIIDevelopingaPortfolioStrategyIVPortfolioConstructionAppendixCHAPTERControllingInterestRateRiskwithDerivatives(byFrankJFabozzi,ShrikantRamamurthy,andMarkPitts)IIntroductionIIControllingInterestRateRiskwithFuturesIIIControllingInterestRateRiskwithSwapsIVHedgingwithOptionsVUsingCapsandFloorsCHAPTERHedgingMortgageSecuritiestoCaptureRelativeValue(byKennethBDunn,RobertoMSella,andFrankJFabozzi)IIntroductionIITheProblemIIIMortgageSecurityRisksIVHowInterestRatesChangeOverTimeVHedgingMethodologyVIHedgingCuspyCouponMortgageSecuritiesCHAPTERCreditDerivativesinBondPortfolioManagement(byMarkJPAnsonandFrankJFabozzi)IIntroductionIIMarketParticipantsIIIWhyCreditRiskIsImportantContentsxiIVTotalReturnSwapVCreditDefaultProductsVICreditSpreadProductsVIISyntheticCollateralizedDebtObligationsVIIIBasketDefaultSwapsAbouttheCFAProgramAbouttheAuthorAbouttheContributorsIndexFOREWORDThereisanargumentthatanunderstandingofanyfinancialmarketmustincorporateanappreciationofthefunctioningofthebondmarketasavitalsourceofliquidityThisargumentistrueintoday’sfinancialmarketsmorethaneverbefore,becauseofthecentralrolethatdebtplaysinvirtuallyeveryfacetofourmodernfinancialmarketsThus,anyonewhowantstobeaseriousstudentorpractitionerinfinanceshouldatleastbecomefamiliarwiththecurrentspectrumoffixedincomesecuritiesandtheirassociatedderivativesandstructuralproductsThisbookisafullyrevisedandupdatededitionoftwovolumesusedearlierinpreparationfortheCharteredFinancialAnalysts(CFA)programHowever,initscurrentform,itgoesbeyondtheoriginalCFAroleandprovidesanextraordinarilycomprehensive,andyetquitereadable,treatmentofthekeytopicsinfixedincomeanalysisThisbreadthandqualityofitscontentshasbeenrecognizedbyitsinclusionasabasictextinthefinancecurriculumofmajoruniversitiesAnyonewhoreadsthisbook,eitherthoroughlyorbydippingintotheportionsthatarerelevantatthemoment,willsurelyreachnewplanesofknowledgeabilityaboutdebtinstrumentsandtheliquiditytheyprovidethroughouttheglobalfinancialmarketsIfirstbeganstudyingthebondmarketbackinthesAtthattime,bondswerethoughttobedullanduninterestingIoftenencounteredexpressionsofsympathyabouthavingbeenmisguidedintooneofthemoremoribundbackwatersinfinanceIndeed,adesignerofoneoftheearlybondmarketindexes(notme)gaveatalkthatstartedwithadeclarationthatbondswere‘‘dull,dull,dull!’’Inthoseearlydays,thebondmarketconsistedofdebtissuedbyUSTreasury,agencies,municipalities,orhighgradecorporationsThestructureofthesesecuritieswasgenerallyquite‘‘plainvanilla’’:fixedcoupons,specifiedmaturities,straightforwardcallfeatures,andsomesinkingfundsTherewasverylittletradinginthesecondarymarketNewissuesoftaxexemptbondswerepurchasedbybanksandindividuals,whilethetaxableofferingsweretakendownbyinsurancecompaniesandpensionfundsAndeventhoughthetotaloutstandingfootingswerequitesizeablerelativetotheequitymarket,thesecondarymarkettradinginbondswasminisculerelativetostocksBondswere,forthemostpart,lockedawayinfrozenportfoliosThecouponswerestillliterally‘‘clipped,’’andsubmittedtoreceiveinterestpayments(atthattime,scissorswereoneofthekeytoolsofbondportfoliomanagement)Thisstateofaffairsreflectedtheenvironmentofthedaythebondbuyinginstitutionswerequitetraditionalintheirculture(theterm‘‘crusty’’maybeonlyslightlytooharsh),bondswereviewedbasicallyasasourceofincomeratherthananopportunityforshorttermreturngeneration,andthehightransactioncostsinthecorporateandmunicipalsectorsdampenedanyprospectivebenefitfromtradingHowever,timeschange,andthereisnoareaoffinancethathaswitnessedamorerapidevolutionperhapsrevolutionwouldbemoreaptthanthefixedincomemarketsInterestrateshavesweptupanddownacrossarangeofvaluesthatwaspreviouslythoughttobeunimaginableNewinstrumentswereintroduced,shapedintostandardformats,andthenxiiixivForewordexplodedtohugemarketsintheirownright,bothintermsofoutstandingfootingsandthemagnitudeofdailytradingStructuring,swaps,andavarietyofoptionshavebecomeintegralcomponentsofthemanyformsofrisktransferthatmaketoday’svibrantdebtmarketpossibleInstarkcontrasttotheploddingpaceofbondsinthes,thisbooktakesthereaderonanexcitingtouroftoday’smoderndebtmarketThebookbeginswithdescriptionsofthecurrenttableauofdebtsecuritiesAfterthisbroadoverview,whichIrecommendtoeveryone,thesecondchapterdelvesimmediatelyintothefundamentalquestionassociatedwithanyinvestmentvehicle:WhataretherisksBondshavehistoricallybeenviewedasalowerriskinstrumentrelativetoothermarketssuchasequitiesandrealestateHowever,intoday’sfixedincomeworld,thederivativeandstructuringprocesseshavespawnedaveritablesmorgasbordofinvestmentopportunities,withreturnsandrisksthatrangeacrossanextremelywidespectrumThecompletionoftheTreasuryyieldcurvehasgivenanewclaritytotermstructureandmaturityriskInturn,thishassharpenedtheidentificationofminimumriskinvestmentsforspecifictimeperiodsTheTreasurycurve’smorepreciselydefinedtermstructurecanthenhelpinanalyzingthespreadbehaviorofnonTreasurysecuritiesThenonTreasurymarketconsistsofcorporate,agency,mortgage,municipal,andinternationalcreditsItstotalnowfarexceedsthetotalsupplyofTreasurydebtTounderstandthecreditliquidityrelationshipsacrossthevariousmarketsegments,onemustcometogripswiththeconstellationofyieldspreadsthataffectstheirpricingOnlythencanthenonebegintounderstandhowagivendebtsecurityisvaluedandtoappreciatethemanydimensionaldeterminantsofdebtreturnandriskAsonedelvesdeeperintothemultiplelayersoffixedincomevaluation,itbecomesevidentthatthesesamefactorsformthebasisforanalyzingallformsofinvestments,notjustbondsIneverymarket,therearespotrates,forwardrates,aswellasthemoreaggregatedyieldmeasuresInthepast,thisstructuralapproachmayhavebeenrelegatedtothedomainofthearcaneortheacademicInthecurrentmarket,thesemoresophisticatedapproachestocapitalstructureandtermeffectsareapplieddailyinthevaluationprocessWholenewformsofsecuritizedfixedincomeinstrumentshavecomeintoexistenceandgrowntoenormoussizeinthepastfewdecades,forexample,themortgagebacked,assetbacked,andstructuredloansectorsThesesectorshavebecomecriticaltotheflowofliquiditytohouseholdsandtotheglobaleconomyatlargeTotracehowliquidityandcreditavailabilityfindtheirwaythroughvariouschannelstotheultimatedemanders,itiscriticaltounderstandhowtheseassetsarestructured,howtheybehave,andwhyvarioussourcesoffundsareattractedtothemCreditanalysisisanotherareathathasundergoneradicalevolutioninthepastfewyearsThesimplisticstandardratiomeasuresofyesteryearhavebeensupplementedbymarketorientedanalysesbaseduponoptiontheoryaswellasnewapproachestocapitalstructureTheactivemanagementofbondportfolioshasbecomeahugebusinesswheresizeablefundsareinvestedinanefforttogarnerreturnsinexcessofstandardbenchmarkindicesThefixedincomemarketsarecomprisedoffarmoreindividualsecuritiesthantheequitymarketHowever,thesesecuritiesareembeddedintermstructurespreadmatrixthatleadstomuchtighterandmorereliablecorrelationsThefixedincomemanagercantakeadvantageofthesetightercorrelationstoconstructcompactportfoliostocontroltheoverallbenchmarkriskandstillhaveampleroomtopursueopportunisticpositivealphasintermsofsectorselection,yieldcurveplacement,orcreditspreadsThereisawidespreadbeliefthatexploitableinefficienciespersistwithinthefixedincomemarketbecauseoftheregulatoryandorfunctionalconstraintsForewordxvplaceduponmanyofthemajormarketparticipantsInmoreandmoreinstances,thesesocalledalphareturnsfromactivebondmanagementarebeing‘‘ported’’viaderivativeoverlays,possiblyinaleveragedfashion,

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