Introduction to Fixed Income Analytics: Relative Value Analysis, Risk Measures and Valuation

Although investors have become inured to the headlines in the financial news, we are in the midst of the greatest financial crisis since the early 1930s.  The fixed-income market — the largest sector of the capital market in the world  is being severely stressed.  For some products within this market, the turmoil is so severe that the likelihood of future issuance is doubtful (collateralized debt obligations and structured finance vehicles). When times are turbulent, we must return to the fundamentals:  principles, concepts and tools that we know work will always work even in a financial crisis.  This book gives readers the foundation of professional knowledge on which to build a career as a fixed-income professional.  The book is designed to be taken to the trading desk with illustrations using Bloomberg screens that show you step-by-step how the numbers are calculated and their economic meaning.  Applications of the tools and concepts are abundant throughout the text.  This book includes only concepts and tools that professionals have successful utilized over the past 25 years.  Fabozzi and Mann provide readers with the most comprehensive treatment of fixed income analytics topics available.  In addition to updating existing material, they plan to add chapters addressing value-at-risk and other risk measures, relative value measures (asset swap spreads, CDS basis, yield spread measures), convertible bond analysis, and treasury inflation protected securities.