00 Reading List

Reading List
Lecture1. Introduction and Bond Prices

1.1. “The coming bond boom” by Marrill Lynch, Financial Planning, June 2005, V35(6),
p22
1.2. “Now, Back to Debt” by Aman Malik, Business Today, 2007, May 6
1.3. “MWAA Plans $220 Million Refunding Sale”, The Bond Buyer, 2004, August 6
1.4. “Product News”, Bank Investment Consultant, February 2005
Lecture 2. Yields and the Spot Rate Curve

2.1. “Zero coupons, zero worries?”, Amey Stone, Business Week, 10/05/98, Issue 3598,
p184-184
2.2. “Understanding Spread To Spot”, Lisa G. Anderson, Mortgage-Backed Securities
Letter”, 24 April 1995, Vol. 5, No. 17.
2.3. “Some Lessons from the Yield Curve”, John Y Campbell, Journal of Economics
Perspectives, 1995, V9(3), p129-152
Lecture 3. Forward and the Term Structure of Interest Rates

3.1. “Some Lessons from the Yield Curve”, John Y Campbell, Journal of Economics
Perspectives, 1995, V9(3), p129-152
3.2. “The yield curve: 10-year Treasury, six-month T-bill rates; When the bond market
speaks, should we listen?”, Progressive Grocer, 1 March 2007
3.3. “US Yield Curve: Bond sets low, market eases for Fed.”, Steven Scheer, Reuters
News, 22 August 1998, 05:31
Lecture 4. Measuring Interest Rate Risk

4.1. “Forget maturity. Think duration”, Steven T. Goldberg, KPFM, 1 June 1994, Vol. 48,
No. 6, ISSN: 1056-697X
4.2. “Duration: A Practitioner’s View”, Bob Kopprasch, Journal of Applied Finance,
Fall/Winter 2006, V16(2), p138-143
4.3. “Duration: What is All the Disagreement About?”, George G. Kaufman, Journal of
Applied Finance, Fall/Winder 2006, V16(2), p134-137
4.4. “A Note on Common Interest Rate Risk Measures”, Gerald W & Buetow, JR, Frank J.
Fabozzi & Bernd Hanke, Journal of Fixed Income, Sep 2003, V13(2), pp46-54.
Lecture 5. Managing Interest Rate Risk – Part 1

5.1. “Matching Bond Funds Bill”, Jackie Cohen, Bond Buyer, 2007, January 12, Vol 359
(32546)
5.2. “Duration Targeting and the Management of Multiperiod Returns”, Langetieg,
Leibowitz and Kogelman, Financial Analysts Journal, September/October 1990,
V46(5), p35-45
5.3. “'One Size Fits All' LDI Strategies Don't Work”, Money Management Letter, 18 May
2007
5.4. “Longing for Duration”, Gold and Peskin, Financial Analysts Journal,
November/December 1998, V44(6), p68-71
5.5. “Bond Immunization Minimizes Risk”, David j. Deluccia, Healthcare Financial
Management, 1 July 1989
5.6. “Bond Strategy Locks in Yields”, Leonard Sloane, The New York Times, 19 July
1986.
Lecture 6. Managing Interest Rate Risk – Part 2
6.1. “Convexity and Bond Performance: The Benter the Better”, Bruce Grantier, Financial
Analysts Journal, November/December 1988, V44(6), p79-81
6.2. “A Note on Convexity and Bond Portfolio Performance”, Shyy and Lieu, Financial
Management, Spring 1994, V23(1), p14
6.3. “Uses and Abuses of Duration and Convexity”, Winkelmann, Financial Analysts
Journal, September/October 1989, V45(5), p72-75
Lecture 7. Corporate Bond Market and Credit Risk

7.1. “US corporate debt market starts to slow”, Jenny Wiggins, Financial Times, 19 July
2001.
7.2. “Bank bonds improve market”, Sharon Wood, Financial Mail, 13 Sep 2002
7.3. “Housing fund’s credit rating, bond series upgraded”, Associated Press Newswires, 20
Dec 1997.
Lecture 8. Securitisation
8.1. “Prepayments: The Guts Of The Market In A Changing Game”, Mortgage Backed
Securities Letter, 10 June 1996, Vol. 11, No. 24.
8.2. “Fannie Mae prepayments increase in November”, Reuters News, 7 December 1993.
8.3. “Spreads tighter versus Treasurys”, Dow Jones Capital Market Report, 10 Dec 2005.
8.4. “Collateralized Mortgages”, Leonard Sloane, The New York Times, 8 Oct 1983.
8.5. “Benefiting From CMOs”, Gerald A, Guild, Financial World Partners, 27 Nov 1985
Lecture 9. Passive Fixed Income Portfolio Management

9.1. “BGI introduces rare core-plus index fund”, Brief Article, Money Management Letter,
1 September 2003, V28(18), p6
9.2. “The joys of passive bond investing”, Barry Critchley, The Financial Post, 11 January
1996, p5
9.3. “Perils of a passive approach to bonds”, Investment Week, 7 October 2002
Lecture 10. Active Fixed Income Portfolio Management

10.1. “Bond focus changes”, Money Marketing, 30 November 2006, p28
10.2. “Mixed Cocktail”, Kristen French, Financial Planning, November 2004, V34(11),
p165
10.3. “Exploring the options: Bond managers get defensive; Lower durations and TIPS are
the order of the day as industry gets ready for increase in interest rates”, Ricki
Fulman, Pensions & Investments, 19 April 2004, V32(8), p1-39
10.4. “Enhanced core strategy beats long duration”, Susan Barreto, Pensions &
Investments, 22 February 1999, V27(4)
10.5. “Total Return Fixed-Income Portfolio Management”, Herold, Maurer and
Purschaker, Journal of Portfolio Management, Spring 2005, V31(3), p32-43
Lecture 11. Performance Measurement

11.1. “Three Bond Funds That Have Lost Their Edge”, Scott Berry, Morning Star Fund
Investor, September 2006, V15(1), p22
11.2. “Best in show for the quarter: Fixed income: Long and extra-long duration join high-
yield accounts at the head of the bond performance lineup”, Jenna Gottlieb, Pensions
& Investments, 22 August 2005, V33(17), p15-16

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Reading List

Lecture1. Introduction and Bond Prices

Lecture 2. Yields and the Spot Rate Curve

Lecture 3. Forward and the Term Structure of Interest Rates

Lecture 4. Measuring Interest Rate Risk

Lecture 5. Managing Interest Rate Risk – Part 1

Lecture 7. Corporate Bond Market and Credit Risk

Lecture 9. Passive Fixed Income Portfolio Management

Lecture 10. Active Fixed Income Portfolio Management

Lecture 11. Performance Measurement

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