Managing a Corporate Bond Portfolio

by Crabbe, Leland E.; Fabozzi, Frank J.

• ISBN13: 9780471218272
• ISBN10: 0471218278
• Edition: 1st
• Format: Hardcover
• Copyright: 2001-12-14
• Publisher: Wiley

Summary

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

Author Biography

LELAND E. CRABBE is a fixed income portfolio manager at Credit Suisse Asset Management in New York and global head of emerging market debt. He received his PhD in economics from the University of California at Los Angeles in 1988. Subsequent to that, he worked for the Federal Reserve Board in Washington, DC, as an economist in the capital market section, focusing on corporate bond and high yield research. From 1994 to 1998, he worked at Merrill Lynch in various capacities: in research as Merrill&#146;s Corporate Bond Strategist; in corporate bond syndicate as a developer of structured corporate bonds; and in emerging market bond trading.<BR>

Table of Contents

About the Authors	vi
Preface	vii
Introduction	1	(4)
Section I: An Introduction to Corporate Bonds	5	(50)
Features of Corporate Bonds	7	(24)
Medium-Term Notes and Structured Notes	31	(12)
Analysis of Convertible Bonds	43	(12)
Section II: Corporate Bond Valuation and Price Dynamics	55	(106)
General Principles of Corporate Bond Valuation and Yield Measures	57	(22)
Measuring Interest Rate Risk	79	(28)
Yield Volatility, Spread Volatility, and Corporate Yield Ratios	107	(10)
Liquidity, Trading, and Trading Costs	117	(18)
Corporate Spread Curve Strategies	135	(18)
Business Cycles, Profit Cycles, and Corporate Bond Strategies	153	(8)
Section III: Corporate Credit Risk	161	(72)
Credit Risk	163	(20)
Introduction to Corporate Bond Credit Analysis	183	(16)
A Rating Transition Framework for Corporate Bond Strategy	199	(16)
Valuation of Subordinated Structures	215	(18)
Section IV: Redemption Analysis	233	(82)
Early Redemption Features	235	(22)
Valuing Corporate Bonds with Embedded Options and Structured Notes	257	(30)
Credit Risk and Embedded Options	287	(14)
Putable Bonds and Their Role in Corporate Bond Portfolios	301	(14)
Index	315