About the Authors Preface Part I: Foundations of Bonds and Interest Rates Chapter 1: The Essentials of Bonds: Structures, Risks, and Market Participants Chapter 2: Interest Rates: Theories, Structures, and Market Implications Chapter 3: Analytical Tools for Bond Portfolio Management Chapter 4: Fundamentals of Bond Valuation Chapter 5: Measuring Yield and Total Return for Bonds Part II: Bond Price Dynamics and Term Structure Chapter 6: Bond Price Volatility: Interest-Rate Sensitivity Measures Chapter 7: The Term Structure of Interest Rates Part III: Debt Instruments Chapter 8: Government and Government-Related Debt Instruments Chapter 9: Corporate Debt Instruments Chapter 10: The Structure and Classification of Residential Mortgage Loans Chapter 11: Agency Mortgage Pass-Through Securities Chapter 12: Agency MBS Derivatives: Collateralized Mortgage Obligations and Stripped MBS Chapter 13: Nonagency Residential Mortgage-Backed Securities Chapter 14: Commercial Mortgage Loans and Commercial Mortgage-Backed Securities Chapter 15: Asset-Backed Securities Part IV: Credit Analysis and Risk Modeling Chapter 16: Corporate Bond Credit Analysis Appendix: Using Monte Carlo Simulation to Assess Bond Credit Risk Chapter 17: Credit Risk Modeling Part V: Advanced Bond Valuation Chapter 18: Analysis of Bonds with Embedded Options Chapter 19: Analysis of Residential Mortgage-Backed Securities Appendix: Calculating Duration Chapter 20: Analysis and Valuation of Convertible Bonds Part VI: Portfolio Management and Strategies Chapter 21: Bond Portfolio Management Appendix A: Markowitz Appendix B: Factor Model Chapter 22: Structured Portfolio Strategies: Indexing and Liability-Driven Investing Appendix: Illustration of Cash Flow Matching Chapter 23: Bond Trading Mechanics Chapter 24: Bond Trading Strategies Appendix: How Institutional Investors Create Leverage via the Repo Market Chapter 25: Managing a Corporate Bond Portfolio Part VII: Performance Measurement and Backtesting Chapter 26: Evaluating Bond Portfolio Strategies Through Backtesting Chapter 27: Evaluating Performance in Bond Portfolio Management Appendix A: Holding-Based Attribution Analysis Using the Campisi Model Appendix B: Yield-Curve Performance Attribution Analysis Part VIII: Derivatives and Their Application in Bond Portfolio Management Chapter 28: Interest-Rate Futures in Bond Portfolio Management Appendix A: Interest-Rate Hedging with U.S. Treasury Futures Appendix B: To Hedge or Not to Hedge? Appendix C: Efficient Asset Allocation Using Futures Chapter 29: Interest-Rate Options Chapter 30: Interest-Rate Swaps, Forward-Rate Agreements, Caps, and Floors Chapter 31: Credit Default Swaps Appendix A: Efficiently Replicating Corporate Bond Returns with CDS Indices Appendix B: Using a CDS Overlay Strategy to Manage Return-to-Risk Profile.