Chapter 6: Fixed Income Valuation and Analysis

In this section

• Term Structure Analysis and Yield Curve Modeling
  Explore the relationship among spot rates, forward rates, and yield to maturity, master bootstrapping techniques, and learn to model and interpret yield curves for fixed-income valuation.
• Credit Analysis and Credit Risk Modeling
  Unlock a deep understanding of PD, LGD, credit spreads, and structured vs. reduced-form models for enhanced credit risk assessment.
• Valuation of Bonds with Embedded Options
  Learn how to value bonds with embedded call, put, and conversion features using binomial lattice models, option-adjusted spreads, and key measures like one-sided durations and effective convexities.
• Credit Default Swaps and Structured Finance
  Explore the mechanics and valuation of credit default swaps, along with structured finance instruments like MBS, ABS, and CDOs. Understand credit events, premium spreads, securitization flows, and practical strategies for portfolio hedging and speculative opportunities.
• Practical Applications in Canadian and U.S. Fixed Income Markets
  An in-depth exploration of how Canadian and U.S. bonds are issued, traded, and valued, covering liquidity, credit spreads, currency considerations, and practical portfolio strategies relevant to CFA Level II candidates.