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Author : David F. Babbel
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (318 download)
Download or read book Default Risk and the Effective Duration of Bonds written by David F. Babbel and published by . This book was released on 1995 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David F. Babbel
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (129 download)
Download or read book Default Risk and the Effective Duration of Bonds written by David F. Babbel and published by . This book was released on 2016 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Estimates of how much credit risk shortens the effective duration of corporate bonds based on observable data and easily estimated bond pricing parameters.Basis risk is the risk attributable to uncertain movements in the spread between yields associated with a particular financial instrument or class of instruments, and a reference interest rate over time. There are seven types of basis risk: Yields on- Long-term versus short-term financial instruments.- Domestic currency versus foreign currencies.- Liquid versus illiquid investments.- Bonds with higher or lower sensitivity to changes in interest rate volatility.- Taxable versus tax-free instruments.- Spot versus futures contracts.- Default -f ree versus non - default - free securities.Basis risk makes it difficult for the fixed-income portfolio manager to measure the portfolio's exposure to interest rate risk, heightens the anxiety of traders and arbitrageurs who are hedging their investments, and compounds the financial institution's problem of matching assets and liabilities.Much attention has been paid to the first type of basis risk. In recent years, attention has turned toward understanding the relation between credit risk and duration. Babbel, Merrill, and Panning focus on that, emphasizing the importance of taking credit risk into account when computing measures of duration.The consensus of all work in this area is that credit risk shortens the effective duration of corporate bonds. The authors estimate how much durations shorten because of credit risk, basing their estimates on observable data and easily estimated bond pricing parameters.An earlier version of this paper - a product of the Financial Sector Development Department - was presented at the Second Biennial Conference on the Financial Dynamics of the Insurance Industry, New York University.
Author : Livingston G. Douglas
Publisher : Prentice Hall
ISBN 13 :
Total Pages : 360 pages
Book Rating : 4.3/5 (97 download)
Download or read book Bond Risk Analysis written by Livingston G. Douglas and published by Prentice Hall. This book was released on 1990 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jon A. Christopherson
Publisher : McGraw Hill Professional
ISBN 13 : 0071733175
Total Pages : 15 pages
Book Rating : 4.0/5 (717 download)
Download or read book Portfolio Performance Measurement and Benchmarking, Chapter 11 - Fixed-Income Risk written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.
Author : Thomas S. Y. Ho
Publisher : Irwin Professional Publishing
ISBN 13 :
Total Pages : 388 pages
Book Rating : 4.3/5 (512 download)
Download or read book Strategic Fixed-income Investment written by Thomas S. Y. Ho and published by Irwin Professional Publishing. This book was released on 1990 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yan Alice Xie
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Duration, Default Risk, and the Term Structure of Interest Rates written by Yan Alice Xie and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the interactive effect of default and interest rate risk on duration of defaultable bonds. We show that duration for defaultable bonds can be longer or shorter than default-free bonds depending on the relation between default intensity and interest rates. Empirical evidence indicates that in most cases duration for defaultable bonds is much shorter than for default-free counterparts because of the negative relation between default risk and interest rates. Results suggest that the duration measure must be adjusted for the effects of default risk and stochastic interest rates to achieve an effective bond portfolio immunization.
Author : Jerald E. Pinto
Publisher : John Wiley & Sons
ISBN 13 : 1118999509
Total Pages : 192 pages
Book Rating : 4.1/5 (189 download)
Download or read book Fixed Income Analysis Workbook written by Jerald E. Pinto and published by John Wiley & Sons. This book was released on 2015-02-02 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fixed Income Analysis Workbook helps busy professionals better understand and apply the concepts and methodologies essential to fixed income portfolio management. A companion to the Fixed Income Analysis text, this helpful workbook offers learning objectives, chapter summaries, and practice problems that reinforce the practitioner-oriented material to give readers the confidence they need before applying these concepts to real cases. Readers will test their understanding of the metrics, methods, and mechanics associated with fixed income portfolios, and make use of the tools and techniques described in the text. Work topic-specific practice problems to facilitate intuitive understanding Review each topic quickly using clear chapter summaries Understand each chapter's objective to avoid missing key information Practice important methods and techniques before applying them in the real world For a more solid understanding of fixed income portfolio management, Fixed Income Analysis Workbook is a complete, practical resource.
Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 9781883249632
Total Pages : 270 pages
Book Rating : 4.2/5 (496 download)
Download or read book Duration, Convexity, and Other Bond Risk Measures written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 1999-05-15 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: Duration, Convexity and other Bond Risk Measures offers the most comprehensive coverage of bond risk measures available. Financial expert Frank Fabozzi walks you through every aspect of bond risk measures from the price volatility characteristics of option-free bonds and bonds with embedded options to the proper method for calculating duration and convexity. Whether you're a novice trader or experienced money manager, if you need to understand the interest rate risk of a portfolio Duration, Convexity and other Bond Risk Measures is the only book you'll need.
Author : Frank K. Reilly
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (31 download)
Download or read book The Many Uses of Bond Duration written by Frank K. Reilly and published by . This book was released on 1979 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: The concept of bond duration was derived in 1938 and 'rediscovered' in the early 1970's by several academicians. Since its rediscovery a number of very important uses have been developed. This paper presents the concept and its computation and discusses the several uses in bond analysis, bond portfolio management and common stock analysis.
Author : Hayne E. Leland
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.3/5 ( download)
Download or read book Bond Prices, Yield Spreads, and Optimal Capital Strucutre with Default Risk written by Hayne E. Leland and published by . This book was released on 1994 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Barbara S. Petitt
Publisher : John Wiley & Sons
ISBN 13 : 111962813X
Total Pages : 1122 pages
Book Rating : 4.1/5 (196 download)
Download or read book Fixed Income Analysis written by Barbara S. Petitt and published by John Wiley & Sons. This book was released on 2019-10-17 with total page 1122 pages. Available in PDF, EPUB and Kindle. Book excerpt: CFA Institute's essential guide to fixed-income portfolio management, revised and updated Now in its fourth edition, Fixed Income Analysis offers authoritative and up-to-date coverage of how successful investment professionals analyze and manage fixed-income portfolios. With contributions from a team of financial experts, the text is filled with detailed information from CFA Institute and contains a comprehensive review of the essential topics in the field. Fixed Income Analysis introduces the fundamental concepts of fixed-income securities and markets and provides in-depth coverage of fixed-income security valuation and portfolio management. The book contains a general framework for valuation that is designed to be accessible to both professionals and those new to the field. The fourth edition provides updated coverage of fixed-income portfolio management including detailed coverage of liability-driven and index-based strategies, the major types of yield curve strategies, and approaches to implementing active credit strategies. The authors include examples that help build the knowledge and skills needed to effectively manage fixed-income portfolios. Fixed Income Analysis gives a real-world understanding of how the concepts discussed are practically applied in client-based scenarios. Investment analysts, portfolio managers, individual and institutional investors and their advisors, and anyone with an interest in fixed-income markets will appreciate this accessible guide to fixed-income analysis.
Author : Barbara S. Petitt
Publisher : John Wiley & Sons
ISBN 13 : 1119029767
Total Pages : 752 pages
Book Rating : 4.1/5 (19 download)
Download or read book Fixed Income Analysis written by Barbara S. Petitt and published by John Wiley & Sons. This book was released on 2015-02-06 with total page 752 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essential guide to fixed income portfolio management, from the experts at CFA Fixed Income Analysis is a new edition of Frank Fabozzi's Fixed Income Analysis, Second Edition that provides authoritative and up-to-date coverage of how investment professionals analyze and manage fixed income portfolios. With detailed information from CFA Institute, this guide contains comprehensive, example-driven presentations of all essential topics in the field to provide value for self-study, general reference, and classroom use. Readers are first introduced to the fundamental concepts of fixed income before continuing on to analysis of risk, asset-backed securities, term structure analysis, and a general framework for valuation that assumes no prior relevant background. The final section of the book consists of three readings that build the knowledge and skills needed to effectively manage fixed income portfolios, giving readers a real-world understanding of how the concepts discussed are practically applied in client-based scenarios. Part of the CFA Institute Investment series, this book provides a thorough exploration of fixed income analysis, clearly presented by experts in the field. Readers gain critical knowledge of underlying concepts, and gain the skills they need to translate theory into practice. Understand fixed income securities, markets, and valuation Master risk analysis and general valuation of fixed income securities Learn how fixed income securities are backed by pools of assets Explore the relationships between bond yields of different maturities Investment analysts, portfolio managers, individual and institutional investors and their advisors, and anyone with an interest in fixed income markets will appreciate this access to the best in professional quality information. For a deeper understanding of fixed income portfolio management practices, Fixed Income Analysis is a complete, essential resource.
Author :
Publisher :
ISBN 13 : 9781603730303
Total Pages : 340 pages
Book Rating : 4.7/5 (33 download)
Download or read book Sweser study notes 2008 written by and published by . This book was released on 2008 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 1118044851
Total Pages : 382 pages
Book Rating : 4.1/5 (18 download)
Download or read book Fixed Income Analysis Workbook written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2011-01-04 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this fully revised and updated Second Edition of Fixed Income Analysis, readers will be introduced to a variety of important fixed income analysis issues, including the general principles of credit analysis, term structure and volatility of interest rates, and valuing bonds with embedded options.
Author : Frank Fabozzi
Publisher : McGraw Hill Professional
ISBN 13 : 0071718311
Total Pages : 37 pages
Book Rating : 4.0/5 (717 download)
Download or read book The Handbook of Fixed Income Securities, Chapter 13 - Corporate Bonds written by Frank Fabozzi and published by McGraw Hill Professional. This book was released on 2005-04-15 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.
Author : Edward I. Altman
Publisher : Beard Books
ISBN 13 : 9781893122017
Total Pages : 324 pages
Book Rating : 4.1/5 (22 download)
Download or read book The High Yield Debt Market written by Edward I. Altman and published by Beard Books. This book was released on 1998 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Frank J. Fabozzi
Publisher : McGraw Hill Professional
ISBN 13 : 0071768467
Total Pages : 1842 pages
Book Rating : 4.0/5 (717 download)
Download or read book The Handbook of Fixed Income Securities, Eighth Edition written by Frank J. Fabozzi and published by McGraw Hill Professional. This book was released on 2012-01-06 with total page 1842 pages. Available in PDF, EPUB and Kindle. Book excerpt: Thoroughly revised and updated, the eighth edition of Frank Fabozzi's classic collection - filled with chapters written by the industry's most trusted, authoritative fixed income experts' delivers every updated fact and formula today's finance professional needs.
