The Handbook of Fixed Income Securities (Seventh Edition)

By Frank J. Fabozzi (Editor)

Overview

Published by McGraw-Hill, "The Handbook of Fixed Income Securities" is the definitive reference work on the fixed income markets. Now in its seventh edition (2005), this 1,531-page compendium, edited by Frank J. Fabozzi with the assistance of Steven V. Mann, features contributions from dozens of leading academics and practitioners. It is universally recognized as the most comprehensive single-volume treatment of fixed income securities and markets.

Key Themes and Arguments

Types and Features of Fixed Income Securities

The handbook catalogs the full universe of fixed income instruments including Treasury securities, agency bonds, corporate bonds (investment grade and high yield), municipal bonds, inflation-linked securities, preferred stock, and international bonds. For each instrument type, the book provides detailed coverage of structural features, market conventions, and risk characteristics.

Risk Analysis

Comprehensive coverage of fixed income risks includes interest rate risk, reinvestment risk, call/timing risk, credit risk, yield curve risk, inflation risk, liquidity risk, currency risk, and volatility risk. The book provides both qualitative frameworks for understanding these risks and quantitative tools for measuring and managing them.

Valuation and Analytics

The analytical sections cover yield measures, duration and convexity, yield curve analysis, term structure modeling, option-adjusted spread analysis, and the valuation of bonds with embedded options. These tools are presented with sufficient mathematical rigor for professional application while maintaining accessibility for non-specialists.

Credit Analysis

Detailed coverage of credit analysis includes corporate bond credit analysis, sovereign credit analysis, credit risk modeling, credit derivatives, and the rating agency process. The post-Enron emphasis on credit analysis reflects the growing importance of credit risk in fixed income portfolio management.

Structured Products

The handbook provides extensive coverage of mortgage-backed securities (both residential and commercial), asset-backed securities, collateralized debt obligations, and other structured products. This coverage reflects the rapid growth and increasing complexity of the structured products market.

Portfolio Management

The final sections address fixed income portfolio management including active and passive strategies, immunization, liability-driven investing, and performance attribution.

Significance

As the standard reference in fixed income, this handbook is indispensable for anyone working in bond markets, credit analysis, or fixed income portfolio management. Its breadth and depth of coverage make it suitable as both a learning resource and a daily professional reference.