Friday, June 1, 2012
Understand Bonds, Treasuries and Credit Risk
Frank Fabozzi's Bond Markets, Analysis and Strategies is probably the best advanced introduction to bonds and other securities around. You get both expert introductions to complex topics (like valuing convertible bonds) and very detailed mathematical formulas.
Covers municipals, treasuries, international public and private bonds, mortgage securities and more.
If you're a Bloomberg Terminal User, this book is great because it has Bloomberg screenshoots.
Here's the actual chapters:
Pricing of bonds -- Measuring yield -- Bond price volatility -- Factors affecting bond yields and the term structure of interest rates -- Treasury and federal agency securities -- Corporate debt instruments -- Municipal securities -- International bonds -- Residential mortgage loans -- Agency mortgage pass-through securities -- Agency collateralized mortgage obligations and stripped mortgage-backed securities -- Nonagency residential mortgage-backed securities -- Commercial mortgage loans and commercial mortgage-backed securities -- Asset-backed securities -- Interest-rate models -- Analysis of bonds with embedded options -- Analysis of residential mortgage-backed securities -- Analysis of convertible bonds -- Corporate bond credit analysis -- Credit risk modeling -- Bond portfolio management strategies -- Bond portfolio construction -- Liability-driven strategies -- Bond performance measurement and evaluation -- Interest-rate futures contracts -- Interest-rate options -- Interest-rate swaps, caps, and floors -- Credit default swaps.
Of course, the math formulas do presume a bit of perfect knowledge.
Still, a great book.