The essential guide to fixed-income portfolio management, from experts working with CFA Institute
Fixed Income Analysis, 5th Edition delivers an authoritative overview of how successful investment professionals manage fixed-income portfolios. Back with expanded content on the defining elements of fixed income securities, corporate debt, repurchase agreements, term structure models, and more, the 5th edition gives students and practitioners alike the tools to understand and apply effective fixed income portfolio management tactics.
Revised and updated by a team of investment experts in collaboration with CFA Institute, this text introduces the fundamental topics of fixed income securities and markets while also providing in-depth coverage of fixed income security valuation. This new edition offers refreshed and expanded content on the analysis and construction of active yield curve and credit strategies for portfolio managers.
Thanks to a wealth of real-world examples, Fixed Income Analysis remains an excellent resource for professionals looking to expand upon their current understanding of this important facet of portfolio management, as well as for students in the undergraduate or graduate classroom.
Through this text, readers will:
- Understand the main features and characteristics of fixed income instruments
- Master the key return and risk measures of fixed income instruments
- Develop and evaluate key fixed income investment strategies based on top-down and bottom-up analysis
The companion workbook (sold separately) includes problems and solutions aligning with the text and allows learners to test their comprehension of key concepts.
CFA Institute is the world’s premier association for investment professionals, and the governing body for the CFA® Program, CIPM® Program, CFA Institute ESG Investing Certificate, and Investment Foundations® Program. Investment analysts, portfolio managers, individual and institutional investors and their advisors, and any reader with an interest in fixed income markets will value this accessible and informative guide.
Table of Contents
Preface xv
Acknowledgements xvii
About the CFA Institute Investment Series xix
PART I: Fixed Income Essentials
CHAPTER 1: Fixed Income Securities: Defining Elements 3
CHAPTER 2: Fixed Income Markets: Issuance, Trading, and Funding 45
CHAPTER 3: Introduction to Fixed-Income Valuation 91
CHAPTER 4: Introduction to Asset-Backed Securities 149
CHAPTER 5: Understanding Fixed-Income Risk and Return 201
CHAPTER 6: Fundamentals of Credit Analysis 257
PART II: Fixed Income Term Structure, Advanced Valuation, and Credit Analysis
CHAPTER 7: The Term Structure and Interest Rate Dynamics 325
CHAPTER 8: The Arbitrage-Free Valuation Framework 377
CHAPTER 9: Valuation and Analysis of Bonds with Embedded Options 419
CHAPTER 10: Credit Analysis Models 487
CHAPTER 11: Credit Default Swaps 545
PART III: Fixed Income Portfolio Management
CHAPTER 12: Overview of Fixed-Income Portfolio Management 575
CHAPTER 13: Liability-Driven and Index-Based Strategies 617
CHAPTER 14: Yield Curve Strategies 693
CHAPTER 15: Fixed-Income Active Management: Credit Strategies 743
Glossary 823
About the Editors 841
About the CFA Program 843
Index 845
