Fixed Income Securities

  1. Risk Analysis in Fixed Income
    1. Interest Rate Risk
      1. Price Risk
        1. Bond Price Volatility
          1. Maturity Impact
            1. Coupon Impact
            2. Reinvestment Risk
              1. Coupon Reinvestment Challenges
                1. Maturity Reinvestment Risk
                  1. Immunization Strategies
                  2. Yield Curve Risk
                    1. Non-Parallel Shifts
                      1. Twist and Butterfly Movements
                    2. Duration Analysis
                      1. Macaulay Duration
                        1. Weighted Average Time to Cash Flows
                          1. Calculation Methodology
                            1. Economic Interpretation
                            2. Modified Duration
                              1. Price Sensitivity Measure
                                1. Yield Change Approximation
                                  1. Calculation from Macaulay Duration
                                  2. Effective Duration
                                    1. Option-Adjusted Measure
                                      1. Callable and Putable Bonds
                                        1. Mortgage-Backed Securities
                                        2. Key Rate Duration
                                          1. Partial Duration Measures
                                            1. Yield Curve Reshaping Risk
                                              1. Portfolio Applications
                                              2. Duration Properties
                                                1. Factors Affecting Duration
                                                  1. Time to Maturity
                                                    1. Coupon Rate
                                                      1. Yield Level
                                                      2. Duration Limitations
                                                        1. Linear Approximation
                                                          1. Large Yield Changes
                                                      3. Convexity Analysis
                                                        1. Convexity Definition
                                                          1. Second-Order Price Sensitivity
                                                            1. Mathematical Foundation
                                                            2. Positive Convexity
                                                              1. Option-Free Bonds
                                                                1. Investor Benefits
                                                                2. Negative Convexity
                                                                  1. Callable Bonds
                                                                    1. Mortgage-Backed Securities
                                                                      1. Prepayment Effects
                                                                      2. Convexity Calculations
                                                                        1. Formula Applications
                                                                          1. Effective Convexity
                                                                          2. Price Change Approximations
                                                                            1. Duration Plus Convexity
                                                                              1. Accuracy Improvements
                                                                            2. Credit Risk Assessment
                                                                              1. Default Risk Components
                                                                                1. Probability of Default
                                                                                  1. Loss Given Default
                                                                                    1. Exposure at Default
                                                                                    2. Credit Rating Systems
                                                                                      1. Rating Agency Methodologies
                                                                                        1. Standard & Poor's
                                                                                          1. Moody's Investors Service
                                                                                            1. Fitch Ratings
                                                                                            2. Rating Categories
                                                                                              1. Investment Grade Ratings
                                                                                                1. Speculative Grade Ratings
                                                                                                  1. Default Categories
                                                                                                  2. Rating Stability and Migration
                                                                                                  3. Credit Spread Analysis
                                                                                                    1. G-Spread (Government Spread)
                                                                                                      1. I-Spread (Interpolated Spread)
                                                                                                        1. Z-Spread (Zero-Volatility Spread)
                                                                                                          1. Option-Adjusted Spread
                                                                                                          2. Credit Analysis Framework
                                                                                                            1. Quantitative Analysis
                                                                                                              1. Financial Ratio Analysis
                                                                                                                1. Cash Flow Analysis
                                                                                                                  1. Leverage Metrics
                                                                                                                  2. Qualitative Analysis
                                                                                                                    1. Management Quality
                                                                                                                      1. Industry Position
                                                                                                                        1. Competitive Advantages
                                                                                                                      2. The Four C's of Credit
                                                                                                                        1. Capacity to Pay
                                                                                                                          1. Cash Flow Generation
                                                                                                                            1. Debt Service Coverage
                                                                                                                            2. Collateral
                                                                                                                              1. Asset Quality
                                                                                                                                1. Liquidation Value
                                                                                                                                2. Covenants
                                                                                                                                  1. Protective Provisions
                                                                                                                                    1. Maintenance Requirements
                                                                                                                                    2. Character
                                                                                                                                      1. Management Track Record
                                                                                                                                        1. Corporate Governance
                                                                                                                                    3. Other Risk Factors
                                                                                                                                      1. Liquidity Risk
                                                                                                                                        1. Bid-Ask Spreads
                                                                                                                                          1. Market Depth
                                                                                                                                            1. Trading Volume
                                                                                                                                              1. Liquidity Premiums
                                                                                                                                              2. Inflation Risk
                                                                                                                                                1. Purchasing Power Erosion
                                                                                                                                                  1. Real vs. Nominal Returns
                                                                                                                                                    1. Inflation-Protected Securities
                                                                                                                                                    2. Currency Risk
                                                                                                                                                      1. Foreign Exchange Exposure
                                                                                                                                                        1. Hedging Strategies
                                                                                                                                                          1. Currency Forward Contracts
                                                                                                                                                          2. Event Risk
                                                                                                                                                            1. Corporate Restructuring
                                                                                                                                                              1. Regulatory Changes
                                                                                                                                                                1. Natural Disasters
                                                                                                                                                                  1. Political Risk
                                                                                                                                                                  2. Volatility Risk
                                                                                                                                                                    1. Option-Embedded Securities
                                                                                                                                                                      1. Interest Rate Volatility
                                                                                                                                                                        1. Prepayment Volatility
                                                                                                                                                                        2. Model Risk
                                                                                                                                                                          1. Valuation Model Limitations
                                                                                                                                                                            1. Parameter Estimation Error
                                                                                                                                                                              1. Model Validation

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                                                                                                                                                                          3. Bond Valuation Principles

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                                                                                                                                                                          5. Term Structure of Interest Rates