"We are pleased to bring you Fixed Income Analysis, which provides authoritative and up-to-date coverage of how investment professionals analyze and manage fixed-income portfolios. As with many of the other titles in the CFA Institute Investment Series, the content for this book is drawn from...

This study examines whether revolving rating analysts who transition from major rating agencies to issuers are associated with any rating inflation in the issuers' mortgage-backed securities (MBS) or asset-backed securities (ABS). Using professional profiles posted on LinkedIn to identify...

Introduction -- Part I Fundamentals: Credit Derivatives and Markets -- Mathematical Preliminaries -- Part II Static Models: One Factor Gaussian Copula Model -- Normal Inverse Gaussian Factor Copula Model -- Part III: Term-Structure Models -- Large Homogeneous Cell Approximation for Factor Copula...

This paper proposes a new valuation procedure of Mortgage Backed Securities (MBS). First, the optimal prepayment policy is obtained thanks to optimal stopping techniques. Then, the fraction of prepaid MBS is assumed to be driven by some characteristic distribution function of the di/erence...

Cover -- Title Page -- Copyright -- Contents -- Foreword -- Preface -- Acknowledgments -- Introduction -- Part 1 Valuation of Fixed-Income Securities -- Chapter 1 The Time Value of Money -- 1.1 Present Value -- 1.2 Future Value -- 1.3 Present Value of an Annuity -- 1.4 Future Value of an Annuity...

This book is aimed at experienced practitioners in the corporate bond markets and is a specialised text for investors and traders. The author relates from both personal experience as well as his own research to bring together subjects of practical importance to bond market practitioners. He...