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法博齐的经典：the global money markets
FRANK J. FABOZZI
STEVEN V. MANN
MOORAD CHOUDHRY
Frank J. Fabozzi is editor of the Journal of Portfolio Management and an
adjunct professor of finance at Yale University’s School of Management. He
is a Chartered Financial Analyst and Certified Public Accountant. 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.
He is an Advisory Analyst for Global Asset Management (GAM)
with responsibilities as Consulting Director for portfolio construction, risk
control, and evaluation.
contents
About the Authors vii
Acknowledgements viii
CHAPTER 1
Introduction 1
CHAPTER 2
Money Market Calculations 7
CHAPTER 3
U.S. Treasury Bills 23
CHAPTER 4
Agency Instruments 45
CHAPTER 5
Corporate Obligations: Commercial Paper and Medium-Term Notes 67
CHAPTER 6
Debt Obligations of Financial Institutions 85
CHAPTER 7
Floating-Rate Securities 101
CHAPTER 8
Repurchase and Reverse Repurchase Agreements 119
CHAPTER 9
Short-Term Mortgage-Backed Securities 151
CHAPTER 10
Short-Term Asset-Backed Securities 187
vi Contents
CHAPTER 11
Futures and Forward Rate Agreements 209
CHAPTER 12
Swaps and Caps/Floors 229
CHAPTER 13
Asset and Liability Management 275
CHAPTER 14
Bank Regulatory Capital 297
INDEX 315
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