Managing a Corporate Bond Portfolio

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's Corporate Bond Strategist; in corporate bond syndicate as a developer of structured corporate bonds; and in emerging market bond trading.FRANK J. FABOZZI, PhD, CFP, CPA, is Editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University's School of Management. Dr. Fabozzi is on the board of directors of the Guardian Life family of funds and the BlackRock complex of funds. He earned a doctorate in economics from the City University of New York in 1972 and, in 1994, received an honorary doctorate of humane letters from Nova Southeastern University. Dr. Fabozzi is a Fellow of the International Center for Finance at Yale University.

• About the Authors. Preface. Introduction. SECTION I: AN INTRODUCTION TO CORPORATE BONDS. Features of Corporate Bonds. Medium-Term Notes and Structured Notes. Analysis of Convertible Bonds. SECTION II: CORPORATE BOND VALUATION AND PRICE DYNAMICS. General Principles of Corporate Bond Valuation and Yield Measures. Measuring Interest Rate Risk. Yield Volatility, Spead Volatility, and Corporate Yield Ratios. Liquidity, Trading, and Trading Costs. Corporate Spread Curve Strategies. Business Cycles, Profit Cycles, and Corporate Bond Strategies. SECTION III: CORPORATE CREDIT RISK. Credit Risk. Introduction to Corporate Bond Credit Analysis. A Rating Transition Framework for Corporate Bond Strategy. Valuation of Subordinated Structures. SECTION IV: REDEMPTION ANALYSIS. Early Redemption Features. Valuing Corporate Bonds with Embedded Options and Structured Notes. Credit Risk and Embedded Options. Putable Bonds and Their Role in Corporate Bond Portfolios. Index.