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  • 0470069198

    Transféré par

    lovemath1990
    13 vues8 pages
    Managing a Bond Portfolio Learning Outcomes Summary Overview Problems. Managing Funds Against a Bond Market Index is a fundamental part of Bond Portfolio management.

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    Managing a Bond Portfolio Learning Outcomes Summary Overview Problems. Managing Funds Against a Bond Market Index is a fundamental part of Bond Portfolio management.

    Droits d'auteur :

    Attribution Non-Commercial (BY-NC)
    Téléchargez comme PDF, TXT ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    13 vues8 pages

    0470069198

    Transféré par

    lovemath1990
    Managing a Bond Portfolio Learning Outcomes Summary Overview Problems. Managing Funds Against a Bond Market Index is a fundamental part of Bond Portfolio management.

    Droits d'auteur :

    Attribution Non-Commercial (BY-NC)
    Téléchargez comme PDF, TXT ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    sur 8

    CONTENTS

    PART I Learning Outcomes, Summary Overview, and Problems

    TE

    CHAPTER 1 Features of Debt Securities


    Learning Outcomes Summary Overview Problems

    RI
    3
    3 3 5

    RI

    CHAPTER 3 Overview of Bond Sectors and Instruments

    GH

    Learning Outcomes Summary Overview Problems

    TE

    CHAPTER 2 Risks Associated with Investing in Bonds

    MA

    AL
    8
    8 9 11

    15
    15 16 19

    CHAPTER 4 Understanding Yield Spreads


    Learning Outcomes Summary Overview Problems

    CO

    PY

    Learning Outcomes Summary Overview Problems

    22
    22 23 25

    CHAPTER 5 Introduction to the Valuation of Debt Securities


    Learning Outcomes Summary Overview Problems

    29
    29 29 31

    vi CHAPTER 6 Yield Measures, Spot Rates, and Forward Rates


    Learning Outcomes Summary Overview Problems

    Contents

    33
    33 34 35

    CHAPTER 7 Introduction to the Measurement of Interest Rate Risk


    Learning Outcomes Summary Overview Problems

    41
    41 42 44

    CHAPTER 8 Term Structure and Volatility of Interest Rates


    Learning Outcomes Summary Overview Problems

    49
    49 49 52

    CHAPTER 9 Valuing Bonds with Embedded Options


    Learning Outcomes Summary Overview Problems

    55
    55 55 58

    CHAPTER 10 Mortgage-Backed Sector of the Bond Market


    Learning Outcomes Summary Overview Problems

    63
    63 63 65

    CHAPTER 11 Asset-Backed Sector of the Bond Market


    Learning Outcomes Summary Overview Problems

    73
    73 73 78

    CHAPTER 12 Valuing Mortgage-Backed and Asset-Backed Securities


    Learning Outcomes Summary Overview Problems

    83
    83 83 86

    Contents

    vii

    CHAPTER 13 Interest Rate Derivative Instruments


    Learning Outcomes Summary Overview Problems

    92
    92 92 94

    CHAPTER 14 Valuation of Interest Rate Derivative Instruments


    Learning Outcomes Summary Overview Problems

    98
    98 99 100

    CHAPTER 15 General Principles of Credit Analysis


    Learning Outcomes Summary Overview Problems

    106
    106 107 109

    CHAPTER 16 Introduction to Bond Portfolio Management


    Learning Outcomes Summary Overview Problems

    114
    114 114 116

    CHAPTER 17 Measuring a Portfolios Risk Prole


    Learning Outcomes Summary Overview Problems

    119
    119 120 122

    CHAPTER 18 Managing Funds Against a Bond Market Index


    Learning Outcomes Summary Overview Problems

    129
    129 130 132

    CHAPTER 19 Portfolio Immunization and Cash Flow Matching


    Learning Outcomes Summary Overview Problems

    140
    140 140 142

    viii CHAPTER 20 Relative-Value Methodologies for Global Credit Bond Portfolio Management
    Learning Outcomes Summary Overview Problems

    Contents

    144
    144 144 146

    CHAPTER 21 International Bond Portfolio Management


    Learning Outcomes Summary Overview Problems

    151
    151 152 155

    CHAPTER 22 Controlling Interest Rate Risk with Derivatives


    Learning Outcomes Summary Overview Problems

    159
    159 160 162

    CHAPTER 23 Hedging Mortgage Securities to Capture Relative Value


    Learning Outcomes Summary Overview Problems

    167
    167 167 169

    CHAPTER 24 Credit Derivatives in Bond Portfolio Management


    Learning Outcomes Summary Overview Problems

    172
    172 172 174

    PART II Solutions CHAPTER 1 Features of Debt Securities


    Solutions

    183
    183

    CHAPTER 2 Risks Associated with Investing in Bonds


    Solutions

    186
    186

    Contents

    ix

    CHAPTER 3 Overview of Bond Sectors and Instruments


    Solutions

    191
    191

    CHAPTER 4 Understanding Yield Spreads


    Solutions

    197
    197

    CHAPTER 5 Introduction to the Valuation of Debt Securities


    Solutions

    201
    201

    CHAPTER 6 Yield Measures, Spot Rates, and Forward Rates


    Solutions

    207
    207

    CHAPTER 7 Introduction to the Measurement of Interest Rate Risk


    Solutions

    219
    219

    CHAPTER 8 Term Structure and Volatility of Interest Rates


    Solutions

    225
    225

    CHAPTER 9 Valuing Bonds with Embedded Options


    Solutions

    231
    231

    CHAPTER 10 Mortgage-Backed Sector of the Bond Market


    Solutions

    238
    238

    CHAPTER 11 Asset-Backed Sector of the Bond Market


    Solutions

    251
    251

    CHAPTER 12 Valuing Mortgage-Backed and Asset-Backed Securities


    Solutions

    258
    258

    x CHAPTER 13 Interest Rate Derivative Instruments


    Solutions

    Contents

    264
    264

    CHAPTER 14 Valuation of Interest Rate Derivative Instruments


    Solutions

    270
    270

    CHAPTER 15 General Principles of Credit Analysis


    Solutions

    281
    281

    CHAPTER 16 Introduction to Bond Portfolio Management


    Solutions

    287
    287

    CHAPTER 17 Measuring a Portfolios Risk Prole


    Solutions

    290
    290

    CHAPTER 18 Managing Funds Against a Bond Market Index


    Solutions

    298
    298

    CHAPTER 19 Portfolio Immunization and Cash Flow Matching


    Solutions

    307
    307

    CHAPTER 20 Relative-Value Methodologies for Global Credit Bond Portfolio Management


    Solutions

    311
    311

    CHAPTER 21 International Bond Portfolio Management


    Solutions

    316
    316

    Contents

    xi

    CHAPTER 22 Controlling Interest Rate Risk with Derivatives


    Solutions

    324
    324

    CHAPTER 23 Hedging Mortgage Securities to Capture Relative Value


    Solutions

    331
    331

    CHAPTER 24 Credit Derivatives in Bond Portfolio Management


    Solutions

    335
    335

    About the CFA Program

    343

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