Fabozzi F., Mann S. Introduction to Fixed Income Analytics, Relative Value Analysis, Risk Measures and Valuation

Wiley, 2010. — 496 p.This book addresses everything from the valuation of fixed income securities with embedded options to the features of structured products—such as mortgage-backed securities and asset-backed securities—while also offering insights on basic principles like the time value of money. Updated to reflect current market trends, Introduction to Fixed Income Analytics, Second Edition will help practicing investment professionals invest wisely in this new era, as well as assist those aspiring to enter the field. Along the way, this practical guide. Outlines approaches to bond valuation based on the discounted cash flow framework as well as relative value analysis. Ties in analytical concepts with what is available on the Bloomberg Terminal and walks you through relevant Bloomberg functions. Explains a superior metric for quantifying a portfolio’s risk exposure: conditional value-at-risk (VaR). Describes the various issues associated with interest rate swaps—from counterparties and risk-return profile to economic interpretation—and illustrates how to value them. Each chapter includes end-of-chapter questions so readers can test their knowledge of the concepts discussed as well as refine any computational skills needed to succeed.