Praise for Managing a Corporate Bond Portfolio
"Crabbe and Fabozzi's Managing a Corporate Bond Portfolio is a refreshingly good book on the neglected topic in fixed income portfolio management. If you want to understand the latest thinking in corporate bonds, what drives prices and why, read this book. You will emerge with knowledge that will help you get an edge in the competitive investing arena."
-Tim Opler
Director, Financial Strategy Group, CSFB
"A practitioner's guide . . . a creative, comprehensive, and practical book that addresses the myriad of challenges facing managers of corporate bond portfolios. The chapter on liquidity, trading, and trading costs is a must read."
-Mary Rooney
Head of Credit Strategy, Merrill Lynch
"As a Senior Portfolio Manager responsible for managing billions of dollars invested in fixed income product during the mid-1990s, Lee Crabbe was the one Wall Street strategist that I would read every week to help me figure out where value was in the corporate bond market, and for insightful and easy-to-understand special reports that educated me and most investors on the risks and opportunities inherent in new structures and subordinated products. Fortunately for me and investors, Lee Crabbe and Frank Fabozzi have written this book, which compiles much of their previous work on corporate bond valuation, along with new features that are a must read, especially in light of the volatile times in the corporate bond market over the past few years. For portfolio managers, analysts, traders, and even strategists, if there is one book in your bookshelf that you should have on corporate bond portfolio management, it is this one."
-William H. Cunningham
Managing Director, Director of Credit Strategy, J. P. Morgan Securities Inc.
www. wileyfinance. com
Inhaltsverzeichnis
About the Authors.
Preface.
Introduction.
SECTION I: AN INTRODUCTION TO CORPORATE BONDS.
Features of Corporate Bonds.
Medium-Term Notes and Structured Notes.
Analysis of Convertible Bonds.
SECTION II: CORPORATE BOND VALUATION AND PRICE DYNAMICS.
General Principles of Corporate Bond Valuation and Yield Measures.
Measuring Interest Rate Risk.
Yield Volatility, Spead Volatility, and Corporate Yield Ratios.
Liquidity, Trading, and Trading Costs.
Corporate Spread Curve Strategies.
Business Cycles, Profit Cycles, and Corporate Bond Strategies.
SECTION III: CORPORATE CREDIT RISK.
Credit Risk.
Introduction to Corporate Bond Credit Analysis.
A Rating Transition Framework for Corporate Bond Strategy.
Valuation of Subordinated Structures.
SECTION IV: REDEMPTION ANALYSIS.
Early Redemption Features.
Valuing Corporate Bonds with Embedded Options and Structured Notes.
Credit Risk and Embedded Options.
Putable Bonds and Their Role in Corporate Bond Portfolios.
Index.
