A fully revised guide to fixed income securities that reflects
current market conditions
The Second Edition of Bond Evaluation, Selection, and
Management combines fundamental and advanced topics in the
field, offering comprehensive coverage of bond and debt
management.
This fully updated and revised edition provides you with the
basics needed to understand various strategies, and explanations of
cutting edge advanced topics. Focusing on essential concepts,
models, and numerical examples, this book will help you quickly
become familiar with the tools needed to effectively select,
evaluate, and manage bonds.
* Covers both the fundamental and advanced topics in the field,
including debt securities, bonds with embedded options,
asset-backed securities, and bond derivatives
* Reinforces important concepts through review questions, web
exercises, and practice problems in each chapter
* Reviews the history of the credit markets from the 1980s to the
present with a retrospective look at the 2008 financial crisis
* Contains "Interview Boxes" consisting of questions and answers
with distinguished fixed-income portfolio managers, traders,
analysts, and academicians
Filled with in-depth insights and practical advice, this
reliable resource offers a solid foundation in understanding the
complexities of evaluating and selecting bonds and other fixed
income securities.
Autorentext
R. STAFFORD JOHNSON is Professor of Finance at the Williams College of Business, Xavier University. He is the author of Options and Futures and has written many articles for journals such as Applied Economics, Journal of Financial Education, International Review of Economics & Business, Journal of Economics, the Financial Review, and the Review of Quantitative Finance and Accounting.
Klappentext
Praise for Bond Evaluation, Selection, and Management, Second Edition
"This book is an excellent resource for students or practitioners who want to learn more about bonds."
Jeff Madura, SunTrust Bank Professor of Finance, Florida Atlantic University
"Johnson does an excellent job of covering and integrating a wide range of topicsbond evaluation, debt markets, securitization, binomial valuation, investment strategies, swaps, and debt derivatives. The book also includes many current topics and issues that have recently characterized the fixed-income investment environmentthe 2008 financial crisis, China's investments, fixed-income ETFs, subprime mortgages, and credit default swaps. With over 400 end-of-chapter problems and Web exercises, as well as accompanying programs, this book has a strong pedagogical content that will take students from a fundamental to an advanced understanding of the fixed-income market."
Rick Zuber, Chair and Professor of Economics, Belk College of Business, UNC Charlotte
Zusammenfassung
A fully revised guide to fixed income securities that reflects current market conditions
The Second Edition of Bond Evaluation, Selection, and Management combines fundamental and advanced topics in the field, offering comprehensive coverage of bond and debt management.
This fully updated and revised edition provides you with the basics needed to understand various strategies, and explanations of cutting edge advanced topics. Focusing on essential concepts, models, and numerical examples, this book will help you quickly become familiar with the tools needed to effectively select, evaluate, and manage bonds.
- Covers both the fundamental and advanced topics in the field, including debt securities, bonds with embedded options, asset-backed securities, and bond derivatives
- Reinforces important concepts through review questions, web exercises, and practice problems in each chapter
- Reviews the history of the credit markets from the 1980s to the present with a retrospective look at the 2008 financial crisis
- Contains "Interview Boxes" consisting of questions and answers with distinguished fixed-income portfolio managers, traders, analysts, and academicians
Filled with in-depth insights and practical advice, this reliable resource offers a solid foundation in understanding the complexities of evaluating and selecting bonds and other fixed income securities.
Inhalt
Preface xvii
Acknowledgments xxi
PART ONE Bond Evaluation 1
CHAPTER 1 Overview of the Financial System 3
1.1 Real and Financial Assets 3
1.2 Types of Debt Claims 4
1.3 Financial Market 6
1.4 Types of Financial Markets 7
1.5 Regulations 15
1.6 Efficient Financial Markets 17
1.7 Characteristics of Assets 20
1.8 Conclusion 23
CHAPTER 2 Bond Value and Return 29
2.1 Introduction 29
2.2 Bond Valuation 29
2.3 The Yield to Maturity and Other Rates of Return Measures 43
2.4 Rates on Zero-Coupon Bonds 49
2.5 Total Return 51
2.6 Spot Rates and Equilibrium Prices 57
2.7 Geometric Mean 60
2.8 Conclusion 64
CHAPTER 3 The Level and Structure of Interest Rates 75
3.1 Introduction 75
3.2 Level of Interest Rates 77
3.3 The Structure of Interest Rates 91
3.4 Conclusion 99
CHAPTER 4 The Term Structure of Interest Rates 105
4.1 Introduction 105
4.2 Market Segmentation Theory 107
4.3 Preferred Habitat Theory 118
4.4 Pure Expectations Theory 120
4.5 Liquidity Premium Theory 132
4.6 Summary of Term Structure Theories 132
4.7 Constructing the Benchmark Yield Curve 133
4.8 Conclusion 138
CHAPTER 5 Bond Risk 147
5.1 Introduction 147
5.2 Default Risk 147
5.3 Call Risk 159
5.4 Market Risk 162
5.5 Duration and Convexity 169
5.6 Conclusion 182
PART TWO Debt Markets 191
CHAPTER 6 Corporate Debt Securities 193
6.1 Introduction 193
6.2 Corporate Bonds 194
6.3 Bankruptcy 207
6.4 The Markets for Corporate Bonds 209
6.5 Medium-Term Notes 214
6.6 Commercial Paper 215
6.7 Conclusion 217
CHAPTER 7 Treasury and Agency Securities 225
7.1 Introduction 225
7.2 Treasury Instruments 225
7.3 Repurchase Agreements 240
7.4 Federal Agency Securities 243
7.5 Conclusion 252
CHAPTER 8 Municipal Securities 259
8.1 Introduction 259
8.2 Municipal Financing 259
8.3 Tax-Exempt Status 260
8.4 Types of Municipals 261
8.5 Special Features of Municipals 266
8.6 Credit Risk, Quality Ratings, and Credit Spreads 267
8.7 Municipal Bond Markets 274
8.8 Conclusion 276
CHAPTER 9 Intermediary Debt Securities 283
9.1 Introduction 283
9.2 Bank Securities 283
9.3 Banker's Acceptances 287
9.4 Mortgage-Backed and Asset-Backed Securities 288
9.5 Investment Funds 289
9.6 Insurance Companies and Pension Funds 303
9.7 Conclusion 309
CHAPTER 10 International Debt Securities 317
10.1 Introduction 317
10.2 International Debt Securities 317
10.3 The Foreign Bond Market 318
10.4 The Eurobond Market 318
10.5 Non-U.S. Domestic Bonds 321
10.6 Emerging Market Debt 323
10.7 Global Fixed-Income Mutual Funds and ETFs 324
10.8 Foreign Bond Risk and Sovereign Bond Ratings 324
10.9 Eurocurrency Market 326
10.10 The Foreign Currency Market and Exchange-Rate Risk 333
10.11 Conclusion 336
CHAPTER 11 Residential Mortgages and Mortgage-Backed Securities 343
11.1 Introducti…