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The Handbook of European Fixed Income Securities


The Handbook of European Fixed Income Securities is the first comprehensive guide to this important and diverse capital market. It is essential reading for all investors with an interest in European bond markets, as well as a vital reference work for traders, marketers, and risk managers.

Featuring contributions from over thirty internationally recognized experts in the field of debt finance and derivatives, this book covers every aspect of the European bond markets. Filled with in-depth insights and practical advice, The Handbook of European Fixed Income Securities includes:

  • The basics of bond instruments
  • Bondholder value
  • Fixed income analytics–pricing and valuation, interest-rate risk management, yield curve modeling
  • Market products–government bonds, Eurobonds, covered bonds, ABS, MBS, cash flow and synthetic CDO
  • European derivative markets–futures, options, swaps, credit derivatives
  • Credit risk management–default and recovery rates
  • Portfolio management strategies
  • Legal and documentation issues
  • Trustee services

FRANK J. FABOZZI, PhD, CFA, is Editor of the Journal of Portfolio Management, the Frederick Frank Adjunct Professor of Finance at Yale University’s School of Management, and a consultant in the fixed income and derivatives area. Fabozzi is a Chartered Financial Analyst and Certified Public Accountant who has edited and authored many acclaimed books in finance. He earned a doctorate in economics from the City University of New York in 1972. He is a Fellow of the International Center for Finance at Yale University.

MOORAD CHOUDHRY is Head of Treasury at KBC Financial Products (UK) Limited in London. He previously worked as a government bond trader at ABN Amro Hoare Govett Limited and Hambros Bank Limited, and in structured finance services at JPMorgan Chase Bank. Choudhry is a Fellow at the Centre for Mathematical Trading and Finance, CASS Business School, London, and a Fellow of the Securities Institute. He has published widely in the field of fixed income and derivatives, and is author of The Bond and Money Markets: Strategy, Trading, Analysis.




SECTION ONE: Background.

CHAPTER 1: Introduction to European Fixed Income Securities and Markets (Moorad Choudhry, Frank J. Fabozzi, and Steven V. Mann).

CHAPTER 2: Bondholder Value versus Shareholder Value (Claus Huber).

CHAPTER 3: Bond Pricing and Yield Measures (Frank J. Fabozzi and Steven V. Mann).

CHAPTER 4: Measuring Interest Rate Risk (Frank J. Fabozzi and Steven V. Mann).

SECTION TWO: Products.

CHAPTER 5: The Euro Government Bond Market (Antonio Villarroya).

CHAPTER 6: The Eurobond Market (David Munves).

CHAPTER 7: The German Pfandbrief and European Covered Bonds Market (Graham “Harry” Cross).

CHAPTER 8: European Inflation-Linked Bonds (Barclays Capital Inflation-Linked Research Team).

CHAPTER 9: The United Kingdom Gilts Market (Moorad Choudhry).

CHAPTER 10: The European Repo Market (Moorad Choudhry).

CHAPTER 11: European Residential Mortgage-Backed Securities (Phil Adams).

CHAPTER 12: European Commercial Mortgage-Backed Securities (Phil Adams).

CHAPTER 13: European Credit Card ABS (Markus Niemeier).

CHAPTER 14: European Auto and Consumer Loan ABS (Markus Niemeier).

CHAPTER 15: Structured Credit: Cash Flow and Synthetic CDOs (Oldrich Masek and Moorad Choudhry).

SECTION THREE: Interest Rate and Credit Derivatives.

CHAPTER 16: European Interest Rate Futures: Instruments and Applications (Brian A. Eales).

CHAPTER 17: Interest Rate Options (Lawrence Galitz).

CHAPTER 18: Pricing Options on Interest Rate Instruments (Brian A. Eales and Radu Tunaru).

CHAPTER 19: Interest Rate Swaps (Frank J. Fabozzi and Steven V. Mann).

CHAPTER 20: A Practical Guide to Swap Curve Construction (Uri Ron).

CHAPTER 21: Credit Derivatives (Richard Pereira, Rod Pienaar, and Moorad Choudhry).

CHAPTER 22: The Pricing of Credit Default Swaps and Synthetic Collateralized Debt Obligations (Greg Gentile, David Jefferds, and Warren Saft).

SECTION FOUR: Portfolio Management.

CHAPTER 23: Fixed Income Risk Modeling for Portfolio Managers (Ludovic Breger).

CHAPTER 24: An Empirical Analysis of the Domestic and Euro Yield Curve Dynamics (Lionel Martellini, Philippe Priaulet, and Stéphane Priaulet).

CHAPTER 25: Tracking Error (William Lloyd, Bharath K. Manium, and Mats Gustavsson).

CHAPTER 26: Portfolio Strategies for Outperforming a Benchmark (William T. Lloyd and Bharath K. Manium).

CHAPTER 27: Credit in Bond Portfolios (Claus Huber and Helmut Kaiser).

CHAPTER 28: Default and Recovery Rates in the Emerging European High-Yield Market (Mariarosa Verde

CHAPTER 29: Analysis and Evaluation of Corporate Bonds (Christoph Klein).

SECTION FIVE: Legal Considerations.

CHAPTER 30: Legal and Documentation Issues on Bonds Issuances (Lourdes Villar-Garcia and Trusha Patel).

CHAPTER 31: Trust and Agency Services in the Debt Capital Markets (Nick Procter and Edmond Leedham).