Bond Evaluation, Selection, and Management
+ Website
2nd Edition
Published on 22. October 2010
Book
Hardback
882 pages
978-0-470-47835-6 (ISBN)
Description
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.
More details
Other editions
Additional editions
R. Stafford Johnson
Bond Evaluation, Selection, and Management
E-Book
10/2010
2nd Edition
Wiley
€80.99
Available for download
R. Stafford Johnson
Bond Evaluation, Selection, and Management
E-Book
09/2010
2nd Edition
Wiley
€80.99
Available for download
Previous edition
R. Stafford Johnson
Bond Evaluation, Selection and Management
Book
02/2004
Blackwell Publishers
€92.99
Article exhausted; check for reprint
Person
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.
Content
Preface.
Acknowledgments.
Part One: Bond Evaluation.
Chapter 1: Overview of the Financial System.
1.1 Real and Financial Assets.
1.2 Types of Debt Claims.
1.3 Financial Market.
1.4 Types of Financial Markets.
1.5 Regulations.
1.6 Efficient Financial Markets.
1.7 Characteristics of Assets.
1.8 Conclusion.
Key Terms.
Problems and Questions.
Web Exercises.
Notes.
Selected References.
Chapter 2: Bond Value and Return.
2.1 Introduction.
2.2 Bond Valuation.
2.3 The Yield to Maturity and Other Rates of Return Measures.
2.4 Rates on Zero-Coupon Bonds.
2.5 Total Return.
2.7 Geometric Mean.
2.8 Conclusion.
Key Terms.
Problems and Questions.
Web Exercises.
Notes.
Selected References.
Chapter 3: the Level and Structure of Interest Rates.
3.1 Introduction.
3.2 Level of Interest Rates.
3.3 the Structure of Interest Rates.
3.4 Conclusion.
Key Terms.
Problems and Questions.
Web Exercises.
Notes.
Selected References.
Chapter 4: the Term Structure of Interest Rates.
4.1 Introduction.
4.2 Market Segmentation Theory.
4.3 Preferred Habitat Theory.
4.4 Pure Expectations Theory.
4.5 Liquidity Premium Theory.
4.6 Summary of Term Structure Theories.
4.7 Constructing the Benchmark Yield Curve.
4.8 Conclusion.
Key Terms.
Problems and Questions.
Web Exercises.
Notes.
Selected References.
Chapter 5: Bond Risk.
5.1 Introduction.
5.2 Default Risk.
5.4 Market Risk.
5.5 Duration and Convexity.
5.6 Conclusion.
Key Terms.
Problems and Questions.
Web Exercises.
Notes.
Selected References.
Part 2: Debt MarketsChapter 6: Corporate Debt Securities.
Chapter 6: Corporate Debt Securities.
6.1 Introduction.
6.2 Corporate Bonds.
6.3 Bankruptcy.
6.4 The Markets for Corporate Bonds.
6.5 Medium-Term Notes.
6.6 Commercial Paper.
6.7 Conclusion.
Key Terms.
Problems and Questions.
Web Exercises.
Notes.
Selected References.
Chapter 7: Treasury and Agency Securities.
7.1 Introduction.
7.2 Treasury Instruments.
7.3 Repurchase Agreements.
7.4 Federal Agency Securities.
7.5 Conclusion.
Key Terms.
Problems and Questions.
Web Exercises.
Notes.
Selected References.
Chapter 8: Municipal Securities.
8.1 Introduction.
8.2 Municipal Financing.
8.3 Tax-Exempt Status.
8.4 Types of Muncipals.
8.5 Special Features of Municipals.
8.6 Credit Risk, Quality Ratings, and Credit Spreads.
8.7 Municipal Bond Markets.
8.7 Conclusion.
Key Terms.
Problems and Questions.
Web Exercises.
Notes.
Selected References.
Chapter 9: Intermediary Debt Securities.
9.1 Introduction.
9.3 Banker's Acceptances.
9.4 Mortgage-Backed and Asset-Backed Securities.
9.5 Investment Funds.
9.6 Insurance Companies and Pension Funds.
9.7 Conclusion.
Key Terms.
Problems and Questions.
Web Exercises.
Notes.
Selected References.
Chapter 10: International Debt Securities.
10.1 Introduction.
10.3 The Foreign Bond Market.
10.4 The Eurobond Market.
10.5 Non-U.S. Domestic Bonds.
10.6 Emerging Market Debt.
10.7 Global Fixed-Income Mutual Funds and ETFs.
10.8 Foreign Bond Risk and Sovereign Bond Ratings.
10.9 Eurocurrency Market.
10.10 The Foreign Currency Market and Exchange Rate Risk.
10.11 Conclusion.
Key Terms.
Problems and Questions.
Web Exercises.
Notes.
Selected References.
Chapter 11: Residential Mortgages and Mortgage-Backed Securities.
11.1 Introduction.
11.2 Residential Mortgage Loans.
11.3 Mortgage Portfolio.
11.4 Mortgage-Backed Securities.
11.5 Features of Mortgage-Backed Securities.
11.6 Collateralized Mortgage Obligations and Strips.
11.7 Evaluating Mortgage-Backed Securities.
11.8 Conclusion.
Key Terms.
Problems and Questions.
Web Exercises.
Notes.
Selected References.
Chapter 12: Nonagency Residential Mbss, Commercial Mbss and Other Asset-Backed Securities.
12. 1 Introduction.
12.2 Nonagency Mortgage-Backed Securities.
12.3 Commercial Mortgage-Back Securities.
12.4 Asset-Backed Securities.
12.5 Collateralized Debt Obligations.
12.6 Conclusion.
Key Terms.
Problems and Questions.
Web Exercises.
Notes.
Selected References.
Part 3: Bond Strategies and the Evaluation of Bonds with Embedded Options.
Chapter 13: Bond Investment Strategies.
13.1 Introduction.
13.2 Active Investment Strategies.
13.3 Passive Bond Management Strategies.
13.4 Bond Immunization Strategies.
13.5 Conclusion.
Key Terms.
Problems and Questions.
Web Exercises.
Notes.
Selected References.
Chapter 14: Binomial Interest Rate Trees and the Valuation of Bonds with Embedded Options.
14.1 Introduction
14.2 Binomial Interest Rate Model.
14.3 Valuing Bonds with Other Option Features.
14.4 Convertible Bond.
14.5 Valuing Mortgage-Backed Securities.
Key Terms.
Problems and Questions.
Web Exercises.
Notes.
Selected References.
Chapter 15: Estimating the Binomial Tree.
15.1 Introduction.
15.2 Subdividing the Binomial Tree.
15.3 Estimating the Binomial Tree.
15.4 U and D Estimation Approach.
15.5 CALIBRATION MODEL.
15.6 Option-Adjusted Spread.
15.7 Duration and Convexity.
15.8 A Note on the Black-Scholes Option Pricing Model.
15.9 Conclusion.
Key Terms.
Problems and Questions.
Web Exercises.
Notes.
Selected References.
Part 4: Debt Derivatives: Futures and Options.
Chapter 16: Futures Contracts on Debt Securities: Fundamentals.
16.1 Introduction.
16.2 The Market and Characteristics of Futures on Debt Securities.
16.3 The Nature of Futures Trading and the Role of the Clearinghouse and Margins.
16.4 Futures Hedging.
16.5 Futures Pricing.
16.6 Conclusion.
Key Terms.
Problems and Questions.
Web Exercises.
Notes.
Selected References.
Chapter 17: Interest Rate Option Contracts: Fundamentals.
17.1 Introduction.
17.2 Option Terminology.
17.3 Markets and Types of Interest Rate Options.
17.4 OPTION POSITIONS.
17.5 Option Trading - Microstructure.
17.6 Option Price Relationships.
17.7 Conclusion.
Key Terms.
Problems and Questions with Solutions.
Web Exercises.
Notes.
Selected References.
Chapter 18: Managing Fixed-Income Positions with Interest-Rate Derivatives.
18.1 Introduction.
18.2 Hedging Fixed-Income Positions.
18.3 Cross Hedging.
18.4 Speculating with Interest Rate Derivatives.
18.5 Synthetic Debt and Investment Positions.
18.6 Using Options to Set a Cap or Floor on a Cash Flow.
18.7 Conclusion.
Key Terms.
Problems and Questions.
Web Exercises.
Notes.
Selected References.
Chapter 19: Managing Fixed-Income Positions with OTC Derivatives.
19.1 Introduction.
19.2 Hedging with OTC Derivatives.
19.3 Hedging a Series of Cash Flows - OTC Caps and Floors.
19.4 Financing Caps and Floors: Collars and Corridors.
19.5 Other Interest Rate Products.
19.6 Hedging Currency Positions with Foreign Currency Options.
19.7 Conclusion.
Key Terms.
Problems and Questions.
Web Exercises.
Notes.
Selected References.
Part 5: Swaps.
Chapter 20: Interest Rate Swaps.
20.1 Introduction.
20.2 Generic Interest Rate Swaps.
Similarities between Swaps and Bond Positions and Eurodollar Futures Strips.
20.3 Swap Market.
20.4 Swap Valuation.
20.5 Comparative Advantage and the Hidden Option.
20.6 Swaps Applications.
20.7 Credit Risk.
20.8 Conclusion.
Key Terms.
Problems and Exercises.
Web Exercises.
Notes.
Selected References.
Chapter 21: Swap Derivatives: Forward Swaps and Swaptions.
21.1 Introduction.
21.2 Forward Swaps.
21.3 Swaptions.
Hedging.
21.4 Cancelable and Extendable Swaps.
21.5 Non-Generic Swaps.
21.6 Conclusion.
Key Terms.
Problems and Exercises.
Notes.
Selected References.
Chapter 22: Currency and Credit Default Swaps.
22.1 Introduction.
22.2 Currency Swaps.
22.3 Credit Default Swaps.
22.4 Conclusion.
Key Terms.
Problems and Questions.
Web Exercises.
Notes.
Selected References.
Appendix A: Uses of Exponents and Logarithms.
Appendix B: Mathematical Statistical Concepts.
Appendix C: Primer on Return, Present Value, and Future Value.
Appendix D: Global Investments and Exchange Rates.
Appendix E: Web Site Information and Examples.
Appendix F: Arbitrage Features of the Calibration Model.
Appendix G: T-Bond Delivery Procedure and Equilibrium Pricing.
Appendix H: Pricing interest rate options with a Binomial Interest Tree.
Appendix I: What's on the Comapnion Website.
Answers and Solutions to Select End-Of-Chapter Problems.
Glossary.
Index.